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Tales of Tails: Jumps in Currency Markets · Study

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ArticleTales of Tails: Jumps in Currency Markets

Suzanne S. Lee2016

OA

Articlegreen2016

Tales of Tails: Jumps in Currency Markets

Suzanne S. Lee · Minho Wang

24 citations·0/0 files stored·Journal of Financial Markets

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

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References

1976Option pricing when underlying stock returns are discontinuous 2003Modeling and Forecasting Realized Volatility 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 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 2004Power and Bipower Variation with Stochastic Volatility and Jumps

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Year2016

Typearticle

Published2016-01-01

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations24

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2019.05.002

openalex_workW3123979015

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