Conditional Correlated Jump Dynamics in Foreign Exchange

This paper studies conditional correlated jump dynamics in foreign exchange returns using a new bivariate jump model with autoregressive jump intensities. Using daily data of German Mark against British Pound and Japanese Yen against the U.S. dollar, we find currency return correlations are driven not only by the normal disturbances, but also by the characteristics of simultaneous jumps

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Year of publication:	2005
Authors:	Chan, Wing Hong
Publisher:	[S.l.] : SSRN
Subject:	Korrelation \| Correlation \| Volatilität \| Volatility \| ARCH-Modell \| ARCH model \| Devisenmarkt \| Foreign exchange market \| Japan \| Deutschland \| Germany \| Großbritannien \| United Kingdom

Extent:	1 Online-Ressource (7 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 83, pp. 23-28, 2004
Classification:	C32 - Time-Series Models ; C52 - Model Evaluation and Testing ; F31 - Foreign Exchange
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014066295