Caporale, Guglielmo Maria; Plastun, Alex - In: Journal of Economic Studies 48 (2020) 1, pp. 211-222
Purpose: This paper explores abnormal price changes in the FOREX by using both daily and intraday data on the EURUSD, USDJPY, USDCAD, AUDUSD and EURJPY exchange rates over the period 01.01.2008–31.12.2018. Design/methodology/approach: It applies a dynamic trigger approach to detect abnormal...