ESTIMATING BIVARIATE GARCH-JUMP MODEL BASED ON HIGH FREQUENCY DATA: THE CASE OF REVALUATION OF THE CHINESE YUAN IN JULY 2005

DOI10.1142/S0217595910002697zbMath1188.91173MaRDI QIDQ3566774

Koichi Maekawa, Ken-ichi Kawai, Xinhong Lu

Publication date: 10 June 2010

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

high frequency databivariate GARCH-Jump modelcorrelated Poisson jumpsVaR threshold

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (1)

Estimating the Constant Elasticity of Variance Model with Data-Driven Markov Chain Monte Carlo Methods

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Unnamed Item

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