This study examines price jumps in foreign exchange (FX) markets using daily data spanning over 20 years, focusing on the following currency pairs: EUR/USD, GBP/USD, USD/CAD, and USD/JPY. We employ a quantile vector autoregressive (QVAR) model and a frequency connectedness approach to analyze the dynamics of price jumps. Our results reveal increased interconnectedness of price jumps during periods of turmoil, manifested mainly in the short term and at the extreme ends of the distribution. We also observe heterogeneity in the total connectedness indices, with more pronounced spillover effects in the upper end quantile.
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George N. Apostolakis
Christos Floros
Konstantinos Gkillas
Journal of Asset Management
University of Patras
Hellenic Mediterranean University
Crete University Press
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Apostolakis et al. (Fri,) studied this question.
www.synapsesocial.com/papers/69db36e64fe01fead37c4e00 — DOI: https://doi.org/10.1057/s41260-026-00457-z