论文标题
俄罗斯卢布在2022年初入侵乌克兰时的卢布：隐含波动和关注的作用
Russia's Ruble during the onset of the Russian invasion of Ukraine in early 2022: The role of implied volatility and attention
论文作者
论文摘要
鲁索 - 乌克兰危机的发作导致俄罗斯卢布的迅速贬值。 In this study, we model intraday price fluctuations of the USD/RUB and the EUR/RUB exchange rates from the $1^{st}$ of December 2021 to the $7^{th}$ of March 2022. Our approach is novel in that instead of using daily (low-frequency) measures of attention and investor's expectations, we use intraday (high-frequency) data: google searches and implied volatility to proxy investor's注意和期望。我们表明，两种方法都在预测两种汇率的盘中价格波动中有用，尽管隐含的波动性包含了盘中注意力。
The onset of the Russo-Ukrainian crisis has led to the rapid depreciation of the Russian ruble. In this study, we model intraday price fluctuations of the USD/RUB and the EUR/RUB exchange rates from the $1^{st}$ of December 2021 to the $7^{th}$ of March 2022. Our approach is novel in that instead of using daily (low-frequency) measures of attention and investor's expectations, we use intraday (high-frequency) data: google searches and implied volatility to proxy investor's attention and expectations. We show that both approaches are useful in predicting intraday price fluctuations of the two exchange rates, although implied volatility encompasses intraday attention.
