ESTIMATING BIVARIATE GARCH-JUMP MODEL BASED ON HIGH FREQUENCY DATA: THE CASE OF REVALUATION OF THE CHINESE YUAN IN JULY 2005 (Q3566774): Difference between revisions
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Latest revision as of 22:28, 2 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | ESTIMATING BIVARIATE GARCH-JUMP MODEL BASED ON HIGH FREQUENCY DATA: THE CASE OF REVALUATION OF THE CHINESE YUAN IN JULY 2005 |
scientific article |
Statements
ESTIMATING BIVARIATE GARCH-JUMP MODEL BASED ON HIGH FREQUENCY DATA: THE CASE OF REVALUATION OF THE CHINESE YUAN IN JULY 2005 (English)
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10 June 2010
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high frequency data
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bivariate GARCH-Jump model
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correlated Poisson jumps
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VaR threshold
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