Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news

1994 ◽  
Vol 7 (4) ◽  
pp. 309-329 ◽  
Author(s):  
Gordon Johnson ◽  
Thomas Schneeweis
Keyword(s):  
Foreign Exchange ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Foreign Exchange Markets ◽  
Macroeconomic News ◽  
Jump Diffusion Processes ◽  
Exchange Markets

scholarly journals The Sign Switch Effect of Macroeconomic News in Foreign Exchange Markets

2013 ◽  
Author(s):  
Walid Ben Omrane ◽  
Tanseli Savaser
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
Macroeconomic News ◽  
Exchange Markets

scholarly journals Macroeconomic news surprises and volatility spillover in foreign exchange markets

2014 ◽  
Vol 48 (2) ◽  
pp. 577-607 ◽  
Author(s):  
Walid Ben Omrane ◽  
Christian Hafner
Keyword(s):  
Foreign Exchange ◽  
Foreign Exchange Markets ◽  
Volatility Spillover ◽  
Macroeconomic News ◽  
Exchange Markets

scholarly journals On the consistency of jump-diffusion dynamics for FX rates under inversion

2020 ◽  
Vol 07 (04) ◽  
pp. 2050046
Author(s):  
Federico Graceffa ◽  
Damiano Brigo ◽  
Andrea Pallavicini
Keyword(s):  
Exchange Rate ◽  
Foreign Exchange ◽  
Foreign Exchange Market ◽  
Diffusion Processes ◽  
Jump Diffusion ◽  
Exchange Market ◽  
Jump Size ◽  
Jump Diffusion Processes ◽  
Diffusion Dynamics ◽  
Random Jump

We investigate the consistency under inversion of jump diffusion processes in the foreign exchange market. That is, if the EUR/USD exchange rate follows a given type of dynamics, under which conditions will USD/EUR follow the same type of dynamics? After giving a numerical description of this property, we establish a suitable local volatility structure ensuring consistency. We subsequently introduce jumps and analyze both constant and random jump size. While in the first scenario consistency is automatically satisfied, the second case is more involved. A fairly general class of admissible densities for the jump size in the domestic measure is determined.

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