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Tales of Tails: Jumps in Currency Markets
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Tales of Tails: Jumps in Currency Markets (2016)Tales of Tails: Jumps in Currency MarketsCarry Trades and Global Foreign Exchange Volatility (2012)Carry Trades and Global Forei…Common Risk Factors in Currency Markets (2011)Common Risk Factors in Curren…Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics (2007)Jumps in Financial Markets: A…The Relative Contribution of Jumps to Total Price Variance (2005)The Relative Contribution of …Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Power and Bipower Variation w…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Micro Effects of Macro Announ…The distribution of realized stock return volatility (2001)The distribution of realized …The Distribution of Realized Exchange Rate Volatility (2001)The Distribution of Realized …Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies (1998)Deutsche Mark–Dollar Volatili…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market (1990)Meteor Showers or Heat Waves?…Forward and spot exchange rates (1984)Forward and spot exchange rat…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Option pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…A Tract on Monetary Reform (1924)A Tract on Monetary ReformThe Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Realized Variance and Market Microstructure Noise (2006)Roughing It Up: Including Jump Components in the Measurement, Modeling, and Forecasting of Return Volatility (2007)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Pricing of Options and Corporate Liabilities (1973)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)Coherent Measures of Risk (1999)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Empirical exchange rate models of the seventies (1983)ARCH modeling in finance (1992)Discretion versus policy rules in practice (1993)Real-time price discovery in global stock, bond and foreign exchange markets (2007)High-Frequency Trading and Price Discovery (2014)Expected stock returns and volatility (1987)The Pricing of Options on Assets with Stochastic Volatilities (1987)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Foreign currency option values (1983)blurred boundaries: the discourse of corruption, the culture of politics, and the imagined state (1995)Financialisation and the slowdown of accumulation (2004)
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References

  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2001The Distribution of Realized Exchange Rate Volatility2,108 cited
  • 2004Power and Bipower Variation with Stochastic Volatility and Jumps2,033 cited
  • 2003Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange1,377 cited
  • 1924A Tract on Monetary Reform1,287 cited
  • 1998Deutsche Mark–Dollar Volatility: Intraday Activity Patterns, Macroeconomic Announcements, and Longer Run Dependencies1,186 cited
  • 2011Common Risk Factors in Currency Markets1,079 cited
  • 2012Carry Trades and Global Foreign Exchange Volatility925 cited
  • 2005The Relative Contribution of Jumps to Total Price Variance890 cited
  • 2007Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics

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864 cited
  • 1990Meteor Showers or Heat Waves? Heteroskedastic Intra-Daily Volatility in the Foreign Exchange Market840 cited
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