The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited
研究了外汇市场波动的地理（热浪）和跨期（流星雨）传导中跳跃的作用，发现流星雨效应远强于热浪，跳跃有显著但适中的影响，且区分日内时段参数有价值。
This article extends the literature on geographic (heat waves) and intertemporal (meteor showers) foreign exchange volatility transmission to characterize the role of jumps and cross-rate propagation. We employ multivariate heterogenous autoregressive (HAR) models to capture the quasi-long memory properties of volatility and both Shapley–Owen R2’s and portfolio optimization exercises to quantify the contributions of information sets. We conclude that meteor showers (MS) are substantially more influential than heat waves (HW), that jumps play a modest but significant role in volatility transmission, that cross-market propagation of volatility is important, and that allowing for differential HW and MS effects and differential parameters across intraday market segments is valuable. Finally, we illustrate what types of news weaken or strengthen heat wave, meteor shower, continuous, and jump patterns with sensitivity analysis. Supplementary materials for this article are available online.