Work

Do Co-Jumps Impact Correlations in Currency Markets?

Year: 2016

Type: article

Source: Journal of Financial Markets

DOI: 10.1016/j.finmar.2017.11.004

Authors: Jozef Barunik, Lukas Vacha

Institutions: Charles University, Czech Academy of Sciences, Czech Academy of Sciences, Institute of Information Theory and Automation

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Grantová Agentura České Republiky

Award: Frequency dependent measurement of financial risk

OpenAlex ID: W2952304022

FWCI: 2.541

Cites: 73

Cited by: 25

Related to: 10