Currency risk : comovements and intraday cojumps
Jérôme Lahaye
| Year of publication: |
December 2016
|
|---|---|
| Authors: | Lahaye, Jérôme |
| Published in: |
Annals of economics and statistics. - Amiens : GENES, ISSN 2115-4430, ZDB-ID 2588293-4. - Vol. 123/124.2016, p. 53-76
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| Subject: | Cojump | Jump | Bootstrap | Diffusion | Brownian | Semimartingale | High-Frequency | Risk | Diversification | Foreign Exchange | Correlation | Crisis | Tail | Korrelation | Volatilität | Volatility | Währungsrisiko | Exchange rate risk | Theorie | Theory | Stochastischer Prozess | Stochastic process | Wechselkurs | Exchange rate | Schätzung | Estimation | Martingal | Martingale | Bootstrap-Verfahren | Bootstrap approach |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Zusammenfassung in französischer Sprache |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011592734