Jump-Diffusion Processes in the Foreign Exchange Markets and the Release of Macroeconomic News
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Bibliographic InfoArticle provided by Society for Computational Economics in its journal Computational Economics.
Volume (Year): 7 (1994)
Issue (Month): 4 ()
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- 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.
- Peter Fortune, 1998. "Weekends can be rough: revisiting the weekend effect in stock prices," Working Papers 98-6, Federal Reserve Bank of Boston.
- 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.
- 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.
- 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.
- 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.
- Michael Ehrmann & Chiara Osbat & Jan Strasky & Lenno Uusküla, 2013. "The Euro exchange rate during the European sovereign debt crisis – dancing to its own tune?," Bank of Estonia Working Papers wp2013-3, Bank of Estonia, revised 24 May 2013.
- 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.
- 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.
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