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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...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Elsevier
2022
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| 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 |