Sources of meteor showers and heat waves in the foreign exchange market

Twice a day or continuously? Observation frequency and inference on foreign exchange volatility persistence

“…For the 1979-88 yen-dollar period considered by Ito et al [1992], volatility transmission occurs relatively symmetrically across market locations. Hogan and Melvin [1994] corroborate these general dynamics using 1983-88 yen-dollar data.…”

“…Recent research, as reported in Ito et al [1992] and Hogan and Melvin [1994], presented evidence related to the finding originally reported in Engle et al [1990] that foreign exchange (FX) market volatility is transmitted through time and across markets in analogy to a meteor shower. The two recent articles focused on the likely sources of meteor showers.…”

“…Results by Engle et al [1990], Ito et at. [1992], and Hogan and Melvin [1994] are based on two FX observations per day for each market segment examined. Specifically, cross-sectional volatility dependencies are inferred from the daily difference between each region's open and closing spot rate quote.…”

Informational linkages across trading regions: Evidence from foreign exchange markets

“…Engle et al (1990) find support for the meteor shower effect, while Baillie and Bollerslev (1990), Hogan and Melvin (1994), and Melvin and Melvin (2003) report evidence for the heat wave effect. These conflicting results may reflect differences in their sample period, mostly very short, and sampling frequency.…”

The Global Transmission of Volatility in the Foreign Exchange Market

“…In seminal papers on the subject, Engle, Ito, and Lin (1990) and Ito, Engle, and Lin (1992) demonstrated the presence of meteor showers, or interregional volatility persistence, for the mid-1980s yen-dollar market. Further evidence on region-speci c volatility clustering, or heat waves, was provided by Baillie and Bollerslev (1990) and Hogan and Melvin (1994).…”