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The impact of jumps on carry trade returns · Study

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ArticleThe impact of jumps on carry trade returns

Suzanne S. Lee2018

OA

Articlegreen2018

The impact of jumps on carry trade returns

Suzanne S. Lee · Minho Wang

35 citations·0/0 files stored·Journal of Financial Economics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1973Risk, Return, and Equilibrium: Empirical Tests 1976Option pricing when underlying stock returns are discontinuous 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 2001The distribution of realized stock return volatility 1984Forward and spot exchange rates 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis 2001The Distribution of Realized Exchange Rate Volatility 2005Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation

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2024Not all words are equal: Sentiment and jumps in the cryptocurrency market

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Year2018

Typearticle

Published2018-08-24

VenueJournal of Financial Economics

ISSN-L0304-405X

Languageen

Citations35

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jfineco.2018.08.006

openalex_workW2594323633

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