0487659 20240103215736.120180308235959.9 85037621342 000428226000006 10.1016/j.finmar.2017.11.004 23 s. P cav_un_epca*02585061386-4181371 (2018)97-119Elsevier Co-jumps Currency markets Realized covariance Wavelets Bootstrap cav_un_auth*0263951 Baruník J. CZ cav_un_auth*0101217 Vácha Lukáš Ekonometrie Department of Econometrics E E UTIA-B Department of Econometrics Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2018/E/vacha-0487659.pdf GA16-14151S GA ČR CZ cav_un_auth*0344061 We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The proposed estimation framework is able to localize the co-jumps very precisely through wavelet coefficients and identify statistically significant co-jumps. Empirical findings reveal the different behaviors of co-jumps during Asian, European, and U.S. trading sessions. Importantly, we document that co-jumps significantly influence correlation in currency markets. WOS AH 50000 50200 50206 2019 2 4 A hod 4ah 20231122143049.1 RVO:67985556 http://hdl.handle.net/11104/0282556 cav_un_auth*0359004 IES FSV UK CZ 1 Department of Econometrics UTIA-B 50206 BUSINESS, FINANCE S 2 Article Business Finance BUSINESS.FINANCE 2.588 0.219 13.4 0.00312 1.549 1491 1.033 1.373 32 Q3 78.923 44.2 Q1 Q2 0.9 Q2 44.175 2018 Soubory v repozitáři: vacha-0487659.pdf 85037621342 SCOPUS PUBMED 000428226000006 WOS cav_un_epca*0258506 Journal of Financial Markets 1386-4181 1878-576X Roč. 37 č. 1 2018 97 119 Elsevier