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Jumps, cojumbs and macro announcements
Lahaye, Jérôme; Laurent, Sébastien; Neely, Christopher J. - In: Journal of applied econometrics 26 (2011) 6, pp. 893-921
Persistent link: https://www.econbiz.de/10009408895
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Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel; Lahaye, Jérôme; Laurent, Sébastien; … - In: International journal of finance & economics : IJFE 12 (2007) 2, pp. 201-223
Persistent link: https://www.econbiz.de/10003542897
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Central bank intervention and exchange rate volatility, its continuous and jump components
Beine, Michel; Lahaye, Jérôme; Laurent, Sébastien; … - 2007 - Rev.
Persistent link: https://www.econbiz.de/10003740039
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Jumps, cojumps and macro announcements
Lahaye, Jérôme (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003740681
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The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited
Lahaye, Jérôme; Neely, Christopher J. - 2014
Persistent link: https://www.econbiz.de/10010423538
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The role of jumps in volatility spillovers in foreign exchange markets : meteor shower and heat waves revisited
Lahaye, Jérôme; Neely, Christopher J. - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 2, pp. 410-427
Persistent link: https://www.econbiz.de/10012262484
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Econometric Modeling of Exchange Rate Volatility and Jumps
Erdemlioglu, Deniz - 2012
This chapter reviews the rapid advances in foreign exchange volatility modeling made in the last three decades. Academic researchers have sought to fit the three major characteristics of foreign exchange volatility: intraday periodicity, autocorrelation and discontinuities in prices. Early...
Persistent link: https://www.econbiz.de/10013107841
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Econometric modeling of exchange rate volatility and jumps
Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - 2012
Persistent link: https://www.econbiz.de/10009522869
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Econometric modeling of exchange rate volatility and jumps
Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - In: Handbook of research methods and applications in …, (pp. 373-427). 2013
Persistent link: https://www.econbiz.de/10011897548
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Which continuous-time model is most appropriate for exchange rates?
Erdemlioglu, Deniz; Laurent, Sébastien; Neely, … - In: Journal of banking & finance 61 (2015) 2, pp. 256-268
Persistent link: https://www.econbiz.de/10011586923