Christopher J. Neely

big data and econometrics seminar

Christopher J. Neely

Federal Reserve Bank of St. Louis
The role of jumps in volatility spillovers in foreign exchange markets: Meteor shower and heat waves revisited
Joint with
Jérôme Lahaye, Christopher J. Neely

IBD Amphi

Îlot Bernard du Bois - Amphithéâtre

5-9 boulevard Maurice Bourdet
13001 Marseille

Tuesday, June 27 2017| 2:00pm

Sébastien Laurent: sebastien.laurent[at]


This paper extends the previous 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 heterogeneous autoregressive (HAR) models to capture the quasi-long-memory properties of volatility and the Shapley-Owen R2 measure to quantify the contributions of components. We conclude that meteor showers are more influential than heat waves, that jumps play a modest but significant role in volatility transmission and that significant, bidirectional cross-rate volatility transmission exists. Finally, we illustrate what types of news weaken or strengthen heat wave and meteor shower effects with sensitivity analysis.