Jump connectedness in the European foreign exchange market

DOI10.1007/978-3-030-85254-2_3MaRDI QIDQ6637733

Hung Xuan Do, Robert Darren Brooks, Emawtee Bissoondoyal Bheenick

Publication date: 13 November 2024

zbMATH Keywords

foreign exchangeEuropeBNS G jump statisticsjump connectedness

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• Risk, jumps, and diversification
• Generalized impulse response analysis in linear multivariate models
• Post-'87 crash fears in the S\&P 500 futures option market
• Monetary Policy in the Open Economy Revisited: Price Setting and Exchange-Rate Flexibility
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Financial and Macroeconomic Connectedness

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