A correlated bivariate Poisson jump model for foreign exchange

This paper develops a new bivariate jump model to study jump dynamics in foreign exchange returns. The model extends a multivariate GARCH parameterization to include a bivariate correlated jump process. The conditional covariance matrix has the Baba, Engle, Kraft, and Kroner (1989) structure, while the bivariate jumps are governed by a Correlated Bivariate Poisson (CBP) function. Using daily data we find evidence of both independent currency specific jumps, as well as jumps common to both exchange rates of the Canadian dollar and Japanese Yen against the U.S. dollar. The paper concludes by investigating a time-varying structure for the arrival of jumps that relaxes the assumption of constant and bounded jump correlation imposed by the CBP function. Copyright Springer-Verlag 2003

MoreLess

Year of publication:	2003
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

Check full text access |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005382455