The jump dynamics of foreign exchange rates: how reliable and consistent are the results of widely utilized jump detection procedures.

This paper investigates the jump dynamics of foreign exchange rates utilizing Barnsdorff-Nielsen and Shepherd (BNS) and Ait-Sahalia Jacob (AJ) jump detection procedures. The sample includes the nine major exchange rates of the world as well as two exchange rates from an emerging market (Turkey). The observation period is from January 1, 2010 to December 31, 2016.