Currency jumps, cojumps and the role of macro news

Journal of International Money and Finance

Volumn 40, Issue , 2014, Pages 42-62

  Chatrath, Arjun ^a   Miao, Hong ^b   Ramchander, Sanjay ^b   Villupuram, Sriram ^b  

^a UNIVERSITY OF PORTLAND   (United States)

^b Veterinary Dentistry and Oral Surgery   (United States)

Author keywords

Cojumps; Currency jumps; Macroeconomic news

Indexed keywords

EID: 84885443096     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2013.08.018     Document Type: Article

References (26)

1. Adler M., Lehmann B. Deviations from purchasing power parity in the long run. J.Finance 1983, 38:1471-1487.
2. Alexander D., Thomas L. Monetary/asset models of exchange rate determination: how well have they performed in the 1980's?. Int. J. Forecast. 1987, 3:53-64.
3. Andersen T.G., Bollerslev T. Deutsche mark-dollar volatility: intraday activity patterns, macroeconomic announcements, and longer run dependencies. J.Finance 1998, 53:219-265.
4. Andersen T.G., Bollerslev T., Diebold F.X., Ebens H. The distribution of realized stock return volatility. J.Financ. Econ. 2001, 61:43-76.
5. Andersen T.G., Bollerslev T., Diebold F.X., Labys P. The distribution of realized exchange rate volatility. J.Am. Stat. Assoc. 2001, 96:42-55.
6. Andersen T.G., Bollerslev T., Diebold F.X., Vega C. Micro effects of macro announcements: real-time price discovery in foreign exchange. Am. Econ. Rev. 2003, 93:38-62.
7. Andersen T.G., Bollerslev T., Frederiksen P.S., Nielsen M.Ø. Continuous-time models, realized volatilities, and testable distributional implications for daily stock returns. J.Appl. Econometrics 2010, 25:233-261.
8. Balduzzi P., Elton E.J., Clifton T. Economic news and bond prices: evidence from the U.S. Treasury market. J.Financ. Quant. Anal. 2001, 36:523-543.
9. Barndorff-Nielsen O.E., Shephard N. Econometric analysis of realized volatility and its use in estimating stochastic volatility models. J.R. Stat. Soc. 2002, 64:253-280.
10. Barndorff-Nielsen O.E., Shephard N. Power and bipower variation with stochastic volatility and jumps. J.Financ. Econometrics 2004, 2:1-37.
11. Barndorff-Nielsen O.E., Shephard N. Econometrics of testing for jumps in financial economics using bipower variation. J.Financ. Econometrics 2006, 4:1-30.
12. Chaudhry M., Ramchander S., Simpson M.W. The impact of macroeconomic surprises on spot and forward exchange markets. J.Int. Money Finance 2005, 24:693-718.
13. Cumby R.E., Obstfeld M. International interest rate and price level linkages under flexible exchange rates: a review of recent evidence. Exchange Rate Theory and Practice 1984, University of Chicago Press, Chicago, IL. J.F.O. Bilson, R.C. Martson (Eds.).
14. Ederington L.H., Lee J.H. How markets process information: news releases and volatility?. J.Finance 1993, 48:1161-1191.
15. Evans M.D.D., Lyons R.K. How is macro news transmitted to exchange rates?. J.Financ. Econ. 2008, 88:26-50.
16. Frankel J.A., Rose A.K. Asurvey of empirical research on nominal exchange rates http://www.nber.org/papers/w4865.
17. Froot K.A., Thaler R.H. Anomalies: foreign exchange. J.Econ. Perspect. 1990, 4:179-192.
18. Gandolfo G., Padoan P.C., Paladino G. Exchange rate determination: single equation or economy wide models? A test against the random walk. J.Bank. Finance 1990, 14:965-992.
19. Hardouvelis G.A. Economic news, exchange rates, and interest rates. J.Int. Money Finance 1988, 7:23-35.
20. Huang X., Tauchen G. The relative contribution of jumps to total price variance. J.Financ. Econometrics 2005, 3:456-499.
21. Klein M., Mizrach B., Murphy R.G. Managing the dollar: has the plaza agreement mattered?. J.Money Credit Bank. 1991, 23:742-751.
22. Lahaye J., Laurent S., Neely C.J. Jumps, cojumps and macro announcements. J.Appl. Econometrics 2011, 26:893-921.
23. Meese R.A., Rogoff K. Empirical exchange rate models of the seventies: do they fit out of sample?. J.Int. Econ. 1983, 14:3-24.
24. Simpson M.W., Ramchander S., Chaudhry M. The impact of macroeconomic surprises on spot and forward foreign exchange markets. J. Int. Money Financ 2005, 24:693-718.
25. Saratis N., Stewart C. Structural, VAR and BVAR models of exchange rate determination: a comparison of their forecasting performance. J.Forecast. 1995, 14:201-215.
26. Tauchen G., Zhou H. Realized jumps on financial markets and predicting credit spreads. J.Econometrics 2011, 160:102-118.