Chatrath, Arjun; Miao, Hong; Ramchander, Sanjay; … - In: Journal of International Money and Finance 40 (2014) C, pp. 42-62
This study investigates the impact of macro news on currency jumps and cojumps. The analysis uses intra-day data, sampled at 5-min frequency, for four currencies for the period 2005–2010. Results indicate that currency jumps are a good proxy for news arrival. We find 9–15% of currency jumps...
