The Global Transmission of Volatility in the Foreign Exchange Market
利用高频数据整合波动率，研究德国马克/美元和日元/美元汇率在亚洲、欧洲、美洲等区域间的波动溢出效应，发现本区域“热浪效应”比跨区域“流星雨效应”更重要。
Volatility spillovers of the DM/$ and ¥/$ exchange rate across regional markets are examined using the integrated volatility of high-frequency data. An analysis of quoting patterns reveals five distinct regions: Asia, Asia-Europe overlap, Europe, Europe-America overlap, and America. After reviewing theoretical foundations for persistence of volatility in dealership markets, regional volatility models are constructed where volatility in one region is a function of yesterday's volatility in that region ("heat-wave effect") and volatility in other regions ("meteor-shower effect"). Evidence of statistically significant effects is found for both own-region and interregional spillovers, but the economic significance of own-region spillovers indicates that heat waves are more important than meteor showers. © 2003 President and Fellows of Harvard College and the Massachusetts Institute of Technology.