Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model

DOI10.1080/07474930600712897zbMath1112.62121OpenAlexW2094669347MaRDI QIDQ5485114

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Publication date: 28 August 2006

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930600712897

zbMATH Keywords

Markov chain Monte Carlomissing observationsthreshold modelcentral bank interventionmultivariate stochastic volatilityforeign exchange volume

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Multivariate Wishart stochastic volatility and changes in regime ⋮ Multivariate Stochastic Volatility: A Review

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