A correlated bivariate Poisson jump model for foreign exchange
Year of publication: |
2003
|
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Authors: | Chan, Wing H. |
Published in: |
Empirical Economics. - Department of Economics and Finance Research and Teaching. - Vol. 28.2003, 4, p. 669-685
|
Publisher: |
Department of Economics and Finance Research and Teaching |
Subject: | Correlated Poisson jump | bivariate GARCH | time-varying jump intensity |
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