Matches in SemOpenAlex for { <https://semopenalex.org/work/W4288049574> ?p ?o ?g. }
Showing items 1 to 66 of
66
with 100 items per page.
- W4288049574 endingPage "29" @default.
- W4288049574 startingPage "1" @default.
- W4288049574 abstract "The discrete daily and intraday jump probabilities of China yuan/US dollar returns from June 1, 2012 to April 30, 2021 is analyzed using five-minute returns considering periodicity filters of volatility. When we use Z-daily jump using either tripower quarticity and quadpower quarticity, the daily jump probability seems to be 66% and 70%, respectively, at α = 0.999. Thus, if the periodicity filters of volatility are not considered, the jump probabilities may be overestimated. When we use the intraday observations or periods, with the periodicity filters of volatility such as such as MAD and short half scale, the daily jump probability seems to be 39% and 40% at α = 0.999, respectively. When we consider the periodicity filters of volatility, the five-minute returns of China yuan/US dollar exchange rates have considerably lower daily jump probabilities than we use using max outlying daily jump statistics without MAD periodicity filters of volatility." @default.
- W4288049574 created "2022-07-27" @default.
- W4288049574 creator A5067292372 @default.
- W4288049574 date "2022-02-28" @default.
- W4288049574 modified "2023-10-17" @default.
- W4288049574 title "Volatility Jump of Multi-Power and Maximum Outlyingness with Periodicity Filters in China yuan/US dollar Exchange Rates" @default.
- W4288049574 doi "https://doi.org/10.29331/jkraic.2022.2.22.1.1" @default.
- W4288049574 hasPublicationYear "2022" @default.
- W4288049574 type Work @default.
- W4288049574 citedByCount "0" @default.
- W4288049574 crossrefType "journal-article" @default.
- W4288049574 hasAuthorship W4288049574A5067292372 @default.
- W4288049574 hasConcept C10138342 @default.
- W4288049574 hasConcept C105795698 @default.
- W4288049574 hasConcept C109168655 @default.
- W4288049574 hasConcept C121332964 @default.
- W4288049574 hasConcept C149782125 @default.
- W4288049574 hasConcept C162324750 @default.
- W4288049574 hasConcept C166957645 @default.
- W4288049574 hasConcept C191935318 @default.
- W4288049574 hasConcept C205649164 @default.
- W4288049574 hasConcept C2776988154 @default.
- W4288049574 hasConcept C2780695682 @default.
- W4288049574 hasConcept C3019931467 @default.
- W4288049574 hasConcept C33923547 @default.
- W4288049574 hasConcept C556758197 @default.
- W4288049574 hasConcept C60092789 @default.
- W4288049574 hasConcept C62520636 @default.
- W4288049574 hasConcept C91602232 @default.
- W4288049574 hasConceptScore W4288049574C10138342 @default.
- W4288049574 hasConceptScore W4288049574C105795698 @default.
- W4288049574 hasConceptScore W4288049574C109168655 @default.
- W4288049574 hasConceptScore W4288049574C121332964 @default.
- W4288049574 hasConceptScore W4288049574C149782125 @default.
- W4288049574 hasConceptScore W4288049574C162324750 @default.
- W4288049574 hasConceptScore W4288049574C166957645 @default.
- W4288049574 hasConceptScore W4288049574C191935318 @default.
- W4288049574 hasConceptScore W4288049574C205649164 @default.
- W4288049574 hasConceptScore W4288049574C2776988154 @default.
- W4288049574 hasConceptScore W4288049574C2780695682 @default.
- W4288049574 hasConceptScore W4288049574C3019931467 @default.
- W4288049574 hasConceptScore W4288049574C33923547 @default.
- W4288049574 hasConceptScore W4288049574C556758197 @default.
- W4288049574 hasConceptScore W4288049574C60092789 @default.
- W4288049574 hasConceptScore W4288049574C62520636 @default.
- W4288049574 hasConceptScore W4288049574C91602232 @default.
- W4288049574 hasIssue "1" @default.
- W4288049574 hasLocation W42880495741 @default.
- W4288049574 hasOpenAccess W4288049574 @default.
- W4288049574 hasPrimaryLocation W42880495741 @default.
- W4288049574 hasRelatedWork W2000184509 @default.
- W4288049574 hasRelatedWork W2021653076 @default.
- W4288049574 hasRelatedWork W2057686864 @default.
- W4288049574 hasRelatedWork W2085642832 @default.
- W4288049574 hasRelatedWork W2162240584 @default.
- W4288049574 hasRelatedWork W2283012415 @default.
- W4288049574 hasRelatedWork W2382475368 @default.
- W4288049574 hasRelatedWork W3121443522 @default.
- W4288049574 hasRelatedWork W4288049574 @default.
- W4288049574 hasRelatedWork W592807496 @default.
- W4288049574 hasVolume "22" @default.
- W4288049574 isParatext "false" @default.
- W4288049574 isRetracted "false" @default.
- W4288049574 workType "article" @default.