Chan, Kam Fong; Powell, John G.; Treepongkaruna, Sirimon - In: Pacific-Basin Finance Journal 30 (2014) C, pp. 132-157
Emerging market currencies tend to jump together, thus intensifying short-term risk, whereas developed market currency jumps and cojumps are much less prevalent. Emerging market currency jumps are considerably more severe, especially during crisis periods. Jumps represent a majority of emerging...