Biblio

Which continuous-time model is most appropriate for exchange rates?Journal articleDeniz Erdemlioglu, Sébastien Laurent et Christopher J. Neely, Journal of Banking & Finance, Volume 61, Issue S2, pp. S256-S268, 2015

Econometric Modeling of Exchange Rate Volatility and JumpsBook chapterDeniz Erdemlioglu, Sébastien Laurent et Christopher J. Neely, In: Handbook of Research Methods and Applications in Empirical Finance, A. R. Bell, C. Brooks et M. Prokopczuk (Eds.), 2013-04, Volume 16, pp. 373-427, Edward Elgar Publishing, 2013

Jumps, cojumps and macro announcementsJournal articleSébastien Laurent, Jérôme Lahaye et Christopher J. Neely, Journal of Applied Econometrics, Volume 26, Issue 6, pp. 893-921, 2011

Central bank intervention and exchange rate volatility, its continuous and jump componentsJournal articleSébastien Laurent, Michel Beine, Jérôme Lahaye, Christopher J. Neely et Franz C. Palm, International Journal of Finance & Economics, Volume 12, Issue 2, pp. 201-223, 2007