Gupta, Rangan; Lau, Chi Keng Marco; Liu, Ruipeng; Marfatia, Hardik A.(Springer, 2019-04)
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 ...
Liu, Ruipeng; Demirer, Riza; Gupta, Rangan; Wohar, Mark E.(Wiley, 2020-03)
This paper examines volatility linkages and forecasting for stock and foreign exchange markets from a novel perspective by utilizing a bivariate Markov‐switching multifractal model that accounts for possible interactions ...
