Price jumps in developed stock markets: the role of monetary policy committee meetings
In this paper, we analyze the jump intensity in the Euro area, Japan, the UK and the US and measure their reactions to the US Federal Reserve meetings together with the country’s own monetary policy meetings. Evidence suggests that the jump intensity in all the markets is highly persistent. Further,...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer New York LLC
2019
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| Subjects: | |
| Online Access: | View Fulltext in Publisher |