Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model
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Publication:5485114
DOI10.1080/07474930600712897zbMath1112.62121OpenAlexW2094669347MaRDI QIDQ5485114
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Publication date: 28 August 2006
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930600712897
Markov chain Monte Carlomissing observationsthreshold modelcentral bank interventionmultivariate stochastic volatilityforeign exchange volume
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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