505 citations · 678 across the 11 of their papers we have counts for
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q-fin.GN2016
Asymmetric volatility connectedness on forex markets
Jozef Barunik, Evzen Kocenda, Lukas Vacha
We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra…
q-fin.ST2016
Do co-jumps impact correlations in currency markets?
Jozef Barunik, Lukas Vacha
We quantify how co-jumps impact correlations in currency markets. To disentangle the continuous part of quadratic covariation from co-jumps, and study the influence of co-jumps on…