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- W2247286276 abstract "In this work the news-induced and liquidity-induced jumps in the HUF/EUR market are disentangled. Also, their respective impact on the total price variation process are measured. The data, methodology and empirical results given in this article wll allow to build a model to describe and potentially forecast the occurence of price jumps. The Ability to estimate the conditional probability of jumps to occur would be a very valuable input for risk management purposes." @default.
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- W2247286276 date "2012-01-01" @default.
- W2247286276 modified "2023-09-27" @default.
- W2247286276 title "Jumps, news, and liquidity in high-frequency exchange rates" @default.
- W2247286276 hasPublicationYear "2012" @default.
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