Conditional correlated jump dynamics in foreign exchange-Reference-Cited by-同舟云学术

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Conditional correlated jump dynamics in foreign exchange

Published:2004-04 Issue:1 Volume:83 Page:23-28
ISSN:0165-1765
Container-title:Economics Letters
language:en
Short-container-title:Economics Letters

Author:

Chan Wing H

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference6 articles.

1. An empirical investigation of continuous-time equity return models;Anderson;Journal of Finance,2002

2. Baba, T., Engle R.F., Kraft D., Kroner K.F., 1989. Multivariate simultaneous generalized arch, UCSD, Department of Economics, manuscript.

3. Conditional jump dynamics in stock market returns;Chan;Journal of Business & Economic Statistics,2002

4. The surprise element: jumps in interest rates;Das;Journal of Econometrics,2002

5. On jump processes in the foreign exchange and stock markets;Jorion;Review of Financial Studies,1988

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