Do co-jumps impact correlations in currency markets?

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11230%2F18%3A10367951" target="_blank" >RIV/00216208:11230/18:10367951 - isvavai.cz</a>
Alternative codes found
RIV/67985556:_____/18:00487659
Result on the web
<a href="http://dx.doi.org/10.1016/j.finmar.2017.11.004" target="_blank" >http://dx.doi.org/10.1016/j.finmar.2017.11.004</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.finmar.2017.11.004" target="_blank" >10.1016/j.finmar.2017.11.004</a>

Result language
angličtina
Original language name
Do co-jumps impact correlations in currency markets?
Original language description
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.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
50201 - Economic Theory

Project
<a href="/en/project/GA16-14151S" target="_blank" >GA16-14151S: Frequency dependent measurement of financial risk</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year
2018
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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