Do co-jumps impact correlations in currency markets?

Kód výsledku v 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>
Nalezeny alternativní kódy
RIV/67985556:_____/18:00487659
Výsledek na webu
<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>

Jazyk výsledku
angličtina
Název v původním jazyce
Do co-jumps impact correlations in currency markets?
Popis výsledku v původním jazyce
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.
Název v anglickém jazyce
Do co-jumps impact correlations in currency markets?
Popis výsledku anglicky
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.

Projekt
<a href="/cs/project/GA16-14151S" target="_blank" >GA16-14151S: Měření faktorů finančního rizika ve frekvenční doméně</a><br>
Návaznosti
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění
2018
Kód důvěrnosti údajů
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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