Chan, Kam Fong; Powell, John; Treepongkaruna, Sirimon
Emerging market currencies tend to jump together, thus intensifying short-term risk, whereas developed market currency jumps and cojumps are much less prevalent. Emerging market currency jumps are considerably more severe, especially during crisis periods. Jumps represent a majority of emerging market currency volatility, in stark contrast to the much lower jump contribution previously documented for developed market currencies. Emerging market currency jumps and cojumps do not appear to...[Show more]
Items in Open Research are protected by copyright, with all rights reserved, unless otherwise indicated.