Conditional correlated jump dynamics in foreign exchange

DOI10.1016/J.ECONLET.2003.09.023zbMath1254.91643OpenAlexW3126037300MaRDI QIDQ1927453

Wing H. Chan

Publication date: 1 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2003.09.023

zbMATH Keywords

autoregressive jump intensitycorrelated jump

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Cites Work

• The surprise element: Jumps in interest rates.

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