Tales of tails : jumps in currency markets
Year of publication: |
2020
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Authors: | Lee, Suzanne S. ; Wang, Minho |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 48.2020, p. 1-29
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Subject: | General jump regression | High-frequency exchange rate data | Jump prediction | Jump-robust carry trade | Devisenmarkt | Foreign exchange market | Volatilität | Volatility | Wechselkurs | Exchange rate | Kapitaleinkommen | Capital income | Währungsspekulation | Currency speculation | Welt | World | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Schätztheorie | Estimation theory | Nichtparametrisches Verfahren | Nonparametric statistics | Regressionsanalyse | Regression analysis |
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