Jumps in foreign exchange spot rates and the informational efficiency of currency forwards-Reference-Cited by-同舟云学术

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Jumps in foreign exchange spot rates and the informational efficiency of currency forwards

Published:2021-05-06 Issue:8 Volume:41 Page:1201-1219
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Ibikunle Gbenga¹²³,Mollica Vito³⁴^ORCID,Sun Qiao¹³⁴

Affiliation:

1. University of Edinburgh Business School, University of Edinburgh Edinburgh United Kingdom

2. European Capital Markets Cooperative Research Centre Pescara Italy

3. RoZetta Institute Sydney Australia

4. Department of Applied Finance, Macquarie Business School Macquarie University North Ryde New South Wales Australia

Funder

Capital Markets CRC Limited

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22212

Reference35 articles.

1. When stock futures dominate price discovery

2. Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

3. Volatility Forecasting: Downside Risk, Jumps and Leverage Effect

4. Rational Inattention: A Solution to the Forward Discount Puzzle

5. Bank for International Settlements.(2019). Triennial central bank survey foreign exchange turnover in April 2019.https://www.bis.org/statistics/rpfx19_fx.pdf

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1. Detecting anomalous WM/reuters fixes using Trailing Contextual Anomaly Detection;International Review of Economics & Finance;2024-11

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