Gnabo, Jean-Yves; Lahaye, Jérôme; Laurent, Sébastien; … - In: Quantitative Finance 12 (2012) 10, pp. 1521-1532
This paper investigates the link between jumps in the exchange rate process and rumours of central bank interventions. Using the case of Japan, we analyse specifically whether jumps trigger false reports of intervention (i.e. an intervention is reported when it did not occur). Intraday jumps are...