| bibtype |
J -
Journal Article
|
| ARLID |
0487659 |
| utime |
20240103215736.1 |
| mtime |
20180308235959.9 |
| SCOPUS |
85037621342 |
| WOS |
000428226000006 |
| DOI |
10.1016/j.finmar.2017.11.004 |
| title
(primary) (eng) |
Do co-jumps impact correlations in currency markets? |
| specification |
| page_count |
23 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0258506 |
| ISSN |
1386-4181 |
| title
|
Journal of Financial Markets |
| volume_id |
37 |
| volume |
1 (2018) |
| page_num |
97-119 |
| publisher |
|
|
| keyword |
Co-jumps |
| keyword |
Currency markets |
| keyword |
Realized covariance |
| keyword |
Wavelets |
| keyword |
Bootstrap |
| author
(primary) |
| ARLID |
cav_un_auth*0263951 |
| name1 |
Baruník |
| name2 |
J. |
| country |
CZ |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| name1 |
Vácha |
| name2 |
Lukáš |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| project_id |
GA16-14151S |
| agency |
GA ČR |
| country |
CZ |
| ARLID |
cav_un_auth*0344061 |
|
| abstract
(eng) |
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. |
| result_subspec |
WOS |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2019 |
| num_of_auth |
2 |
| mrcbC52 |
4 A hod 4ah 20231122143049.1 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0282556 |
| cooperation |
| ARLID |
cav_un_auth*0359004 |
| name |
IES FSV UK |
| country |
CZ |
|
| mrcbC64 |
1 Department of Econometrics UTIA-B 50206 BUSINESS, FINANCE |
| confidential |
S |
| mrcbC86 |
2 Article Business Finance |
| mrcbT16-e |
BUSINESSFINANCE |
| mrcbT16-j |
1.549 |
| mrcbT16-s |
1.033 |
| mrcbT16-B |
78.923 |
| mrcbT16-D |
Q1 |
| mrcbT16-E |
Q2 |
| arlyear |
2018 |
| mrcbTft |
\nSoubory v repozitáři: vacha-0487659.pdf |
| mrcbU14 |
85037621342 SCOPUS |
| mrcbU24 |
PUBMED |
| mrcbU34 |
000428226000006 WOS |
| mrcbU63 |
cav_un_epca*0258506 Journal of Financial Markets 1386-4181 1878-576X Roč. 37 č. 1 2018 97 119 Elsevier |
|