Browsing by Subject "High-Frequency Data"
Now showing items 1-3 of 3
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Essays in Financial Econometrics
(2015)The main goal of this work is to explore the effects of time-varying extreme jump tail dependencies in asset markets. Consequently, a lot of attention has been devoted to understand the extremal tail dependencies between ... -
Foreign Exchange Responses to Macroeconomic Surprises: Playing “Peek-a-Boo” with Financial Markets
(2012-04-16)This paper explores the relationship between precisely timed macroeconomic “news” (or “surprises”) and the immediate currency price fluctuations that surround them. Using data from 2005-2011, I find significant movements ...
