A Correlated Bivariate Poisson Jump Model for Foreign Exchange
Year of publication: |
2005
|
---|---|
Authors: | Chan, Wing H. |
Publisher: |
[S.l.] : SSRN |
Subject: | Japan | Großbritannien | United Kingdom | Deutschland | Germany | Kanada | Canada | Wechselkurs | Exchange rate | Statistische Verteilung | Statistical distribution | ARCH-Modell | ARCH model | Frankreich | France |
-
Prediction of financial downside-risk with heavy-tailed conditional distributions
Mittnik, Stefan, (2003)
-
Is exchange rate volatility excessive? : An ARCH and AR approach
Edmonds, Radcliffe G., (2004)
-
The prediction of down-side market risk with GARCH-stable models
Mittnik, Stefan, (1998)
- More ...
-
Jumping hedges: An examination of movements in copper spot and futures markets
Chan, Wing H., (2006)
-
Do Derivative Markets Contain Useful Information for Signaling "Hot Money" Flows?
Fung, Joseph K. W., (2010)
-
Conditional correlated jump dynamics in foreign exchange
Chan, Wing H., (2004)
- More ...