Smith, Michael; Pitts, Andrew - In: Econometric Reviews 25 (2006) 2-3, pp. 425-451
A bivariate stochastic volatility model is employed to measure the effect of intervention by the Bank of Japan (BOJ) on daily returns and volume in the USD/YEN foreign exchange market. Missing observations are accounted for, and a data-based Wishart prior for the precision matrix of the errors...