Jumps in equilibrium prices and asymmetric news in foreign exchange markets
Year of publication: |
April 2016
|
---|---|
Authors: | El Ouadghiri, Imane ; Uctum, Remzi |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 54.2016, p. 218-234
|
Subject: | Forex market | Announcements | Jump detection test | High frequency data | Microstructure noise | Asymmetric GARCH | Devisenmarkt | Foreign exchange market | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Theorie | Theory | Börsenkurs | Share price | Marktmikrostruktur | Market microstructure | Schätzung | Estimation | Noise Trading | Noise trading | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis |
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