Caporin, Massimiliano; Shahzad, Syed Jawad Hussain - 2022
We evaluate the impact of signed realized semivariances and jumps, in the evolution of the volatility of exchange rates w.r.t leading currencies the US Dollar, the Euro, the UK Pound and the Japanese Yen using high frequency 5-minute interval data. We re-examine the meteor shower and heat wave...