The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
On Jump Processes in the Foreign Exchange and Stock Markets
Abstract
This article investigates the existence of discontinuities in the sample path of exchange rates and of a stock market index. Maximum-likelihood estimation of a mixed jump-diffusion process reveals that exchange rates exhibit systematic discontuinities, even after allowing for conditional heteroskedasticity in the diffusion process. The results are much more significant in the foreign exchange market than in the stock market, which suggests differences in the structure of these markets. Finally, this jump component is shown to explain some of the empirically observed mispricings in the currency options market.
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Citations
Cites
Engle, R. F. (1982) · Econometrica · doi:10.2307/1912773 · Cited by 20,795
Cited by
Andersen, T. G., Bollerslev, T., & Diebold, F. X. (2007) · Review of Economics and Statistics · doi:10.1162/rest.89.4.701 · Cited by 1,445
Does Net Buying Pressure Affect the Shape of Implied Volatility Functions?
Bollen, N. P. B., & Whaley, R. E. (2004) · The Journal of Finance · doi:10.1111/j.1540-6261.2004.00647.x · Cited by 987
The econometrics of financial markets
Pagan, A. (1996) · Journal of Empirical Finance · doi:10.1016/0927-5398(95)00020-8 · Cited by 873
Purchasing Power Parity in the Long Run
ABUAF, N., & JORION, P. (1990) · The Journal of Finance · doi:10.1111/j.1540-6261.1990.tb05085.x · Cited by 803
Self-citationOn more robust estimation of skewness and kurtosis
Kim, T.-H., & White, H. (2004) · Finance Research Letters · doi:10.1016/s1544-6123(03)00003-5 · Cited by 522
Metadata
- Authors
- Jorion, P.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1988-10
- Volume
- 1
- Issue
- 4
- Pages
- 427-445
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2063750298
- Cited by
- 625
- References
- 1
- FWCI
- 7.81
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
