Do co-jumps impact correlations in currency markets?

0487659 - ÚTIA 2019 RIV NL eng J - Článek v odborném periodiku
Baruník, J. - Vácha, Lukáš
Do co-jumps impact correlations in currency markets?
Journal of Financial Markets. Roč. 37, č. 1 (2018), s. 97-119. ISSN 1386-4181. E-ISSN 1878-576X
Grant ostatní: GA ČR(CZ) GA16-14151S
Institucionální podpora: RVO:67985556
Klíčová slova: Co-jumps * Currency markets * Realized covariance * Wavelets * Bootstrap
Obor OECD: Finance
Impakt faktor: 1.407, rok: 2018
http://library.utia.cas.cz/separaty/2018/E/vacha-0487659.pdf

We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on correlations, we propose a new wavelet-based estimator. The proposed estimation framework is able to localize the co-jumps very precisely through wavelet coefficients and identify statistically significant co-jumps. Empirical findings reveal the different behaviors of co-jumps during Asian, European, and U.S. trading sessions. Importantly, we document that co-jumps significantly influence correlation in currency markets.
Trvalý link: http://hdl.handle.net/11104/0282556