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Jumps, news, and liquidity in high-frequency exchange rates

Michael Frömmel (UGent) , Xing Han (UGent) and Frederick Van Gysegem (UGent)
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Abstract
In this work the news-induced and liquidity-induced jumps in the HUF/EUR market are disentangled. Also, their respective impact on the total price variation process are measured. The data, methodology and empirical results given in this article wll allow to build a model to describe and potentially forecast the occurence of price jumps. The Ability to estimate the conditional probability of jumps to occur would be a very valuable input for risk management purposes.
Keywords
liquidity, news announcements, risk management, jumps, exchange rates

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Chicago
Frömmel, Michael, Xing Han, and Frederick Van Gysegem. 2012. “Jumps, News, and Liquidity in High-frequency Exchange Rates.” In III. International Conference “Financial Markets of Russia and Europe”, Proceedings, ed. IA Maksimtsev, AE Karlik, and MV Romanovsky, 195–203. Saint petersburg, Russia: Saint Petersburg State University of Economics and Finance Publishing House.
APA
Frömmel, M., Han, X., & Van Gysegem, F. (2012). Jumps, news, and liquidity in high-frequency exchange rates. In I. Maksimtsev, A. Karlik, & M. Romanovsky (Eds.), III. International Conference “Financial Markets of Russia and Europe”, Proceedings (pp. 195–203). Presented at the III. International Conference “Financial Markets of Russia and Europe,” Saint petersburg, Russia: Saint Petersburg State University of Economics and Finance Publishing House.
Vancouver
1.
Frömmel M, Han X, Van Gysegem F. Jumps, news, and liquidity in high-frequency exchange rates. In: Maksimtsev I, Karlik A, Romanovsky M, editors. III. International Conference “Financial Markets of Russia and Europe”, Proceedings. Saint petersburg, Russia: Saint Petersburg State University of Economics and Finance Publishing House; 2012. p. 195–203.
MLA
Frömmel, Michael, Xing Han, and Frederick Van Gysegem. “Jumps, News, and Liquidity in High-frequency Exchange Rates.” III. International Conference “Financial Markets of Russia and Europe”, Proceedings. Ed. IA Maksimtsev, AE Karlik, & MV Romanovsky. Saint petersburg, Russia: Saint Petersburg State University of Economics and Finance Publishing House, 2012. 195–203. Print.
@inproceedings{3139795,
  abstract     = {In this work the news-induced and liquidity-induced jumps in the HUF/EUR market are disentangled. Also, their respective impact on the total price variation process are measured. The data, methodology and empirical results given in this article wll allow to build a model to describe and potentially forecast the occurence of price jumps. The Ability to estimate the conditional probability of jumps to occur would be a very valuable input for risk management purposes.},
  author       = {Frömmel, Michael and Han, Xing and Van Gysegem, Frederick},
  booktitle    = {III. International Conference 'Financial Markets of Russia and Europe', Proceedings},
  editor       = {Maksimtsev, IA and Karlik, AE and Romanovsky, MV},
  isbn         = {9785731028288},
  keywords     = {liquidity,news announcements,risk management,jumps,exchange rates},
  language     = {eng},
  location     = {Saint petersburg, Russia},
  pages        = {195--203},
  publisher    = {Saint Petersburg State University of Economics and Finance Publishing House},
  title        = {Jumps, news, and liquidity in high-frequency exchange rates},
  year         = {2012},
}