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Jump-Diffusion Processes in the Foreign Exchange Markets and the Release of Macroeconomic News

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  • Johnson, Gordon
  • Schneeweis, Thomas
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    Bibliographic Info

    Article provided by Society for Computational Economics in its journal Computational Economics.

    Volume (Year): 7 (1994)
    Issue (Month): 4 ()
    Pages: 309-29

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    Handle: RePEc:kap:compec:v:7:y:1994:i:4:p:309-29

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    Cited by:
    1. Ehrmann, Michael & Osbat, Chiara & Stráský, Jan & Uusküla, Lenno, 2013. "The euro exchange rate during the European sovereign debt crisis - dancing to its own tune?," Working Paper Series 1532, European Central Bank.
    2. Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2011. "Foreign equity option pricing under stochastic volatility model with double jumps," Economic Modelling, Elsevier, vol. 28(4), pages 1857-1863, July.
    3. Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2011. "Accounting for the impact of higher order moments in foreign equity option pricing model," Economic Modelling, Elsevier, vol. 28(4), pages 1726-1729, July.
    4. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.
    5. Hsu, Pao-Peng & Chen, Ying-Hsiu, 2012. "Barrier option pricing for exchange rates under the Levy–HJM processes," Finance Research Letters, Elsevier, vol. 9(3), pages 176-181.
    6. Peter Fortune, 1998. "Weekends can be rough: revisiting the weekend effect in stock prices," Working Papers 98-6, Federal Reserve Bank of Boston.
    7. Bo, Lijun & Wang, Yongjin & Yang, Xuewei, 2010. "Markov-modulated jump-diffusions for currency option pricing," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 461-469, June.
    8. Peter Fortune, 1999. "Are stock returns different over weekends? a jump diffusion analysis of the "weekend effect"," New England Economic Review, Federal Reserve Bank of Boston, issue Sep, pages 3-19.

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