Conditional correlated jump dynamics in foreign exchange

DOI10.1016/J.ECONLET.2003.09.023MaRDI QIDQ1927453zbMATH OpenOpenAlexFDO

Authors Wing H. Chan

Publication date 1 January 2013

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2003.09.023

zbMATH Keywords

autoregressive jump intensitycorrelated jump

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Recommendations

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Cites work

• The surprise element: Jumps in interest rates.

Cited in

(6)

• Negative autocorrelation around large jumps in intra-day foreign exchange data
• Multivariate FX models with jumps: triangles, quantos and implied correlation
• Jump-diffusion processes in the foreign exchange markets and the release of macroeconomic news
• Modeling foreign exchange rates using copula-based autoregressive conditional duration models
• The jump behavior of a foreign exchange market: analysis of the Thai baht
• Jump connectedness in the European foreign exchange market

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