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The role of jumps in realized volatility modeling and forecasting

Caporin, Massimiliano - In: Journal of financial econometrics 21 (2023) 4, pp. 1143-1168

Persistent link: https://www.econbiz.de/10014391446

Foreign currency prognostication : diverse tests for Germany

Arize, Augustine Chuck; Berendt, Charles J.; … - In: International journal of financial research 8 (2017) 3, pp. 111-120

Persistent link: https://www.econbiz.de/10011779729

High-frequency information content in end-user foreign exchange order flows

Marsh, Ian; Miao, Teng - In: The European journal of finance 18 (2012) 9/10, pp. 865-884

Persistent link: https://www.econbiz.de/10009691776

The behaviour of betting and currency markets on the night of the EU referendum

Auld, Tom; Linton, Oliver - 2018

We study the behaviour of the Betfair betting market and the sterling/dollar exchange rate (futures price) during 24 June 2016, the night of the EU referendum. We investigate how the two markets responded to the announcement of the voting results. We employ a Bayesian updating methodology to...

Persistent link: https://www.econbiz.de/10011775074