The jump dynamics of foreign exchange rates: how reliable and consistent are the results of widely utilized jump detection procedures()

This paper investigates the jump dynamics of foreign exchange rates utilizing Barnsdorff-Nielsen and Shepherd (BNS) and Ait-Sahalia Jacob (AJ) jump detection procedures. The sample includes the nine major exchange rates of the world as well as two exchange rates from an emerging market (Turkey). The...

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Detalles Bibliográficos
Autores principales: Yesilyurt, Serkan, Erol, Umit
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2022
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9563180/
https://www.ncbi.nlm.nih.gov/pubmed/36247148
http://dx.doi.org/10.1016/j.heliyon.2022.e10909

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9563180/
https://www.ncbi.nlm.nih.gov/pubmed/36247148
http://dx.doi.org/10.1016/j.heliyon.2022.e10909

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