#2007-032D "Jumps, Cojumps and Macro Announcements"
by Jérôme Lahaye, Sébastien Laurent, and Christopher J. Neely
August 2007
Revised August 2009

We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics of these discontinuities and informally relate them to U.S. macroeconomic releases before using limited dependent variable models to formally model how news surprises explain (co)jumps. More...

FORTHCOMING: Journal of Applied Econometrics

#2006-031C "Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components"
by Michel Beine, Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely, and Franz C. Palm
May 2006
Revised February 2007

We analyze the relationship between interventions and volatility at daily and intra-daily frequencies for the two major exchange rate markets. More...

PUBLISHED: International Journal of Finance and Economics, April 2007, 12(2), pp. 201-23