He, Jie-Cao; Chang, Hsing-Hua; Chen, Ting-Fu; Lin, Shih-kuei - In: Financial innovation : FIN 9 (2023) 1, pp. 1-58
This research explores upside and downside jumps in the dynamic processes of three rates: domestic interest rates, foreign interest rates, and exchange rates. To fill the gap between the asymmetric jump in the currency market and the current models, a correlated asymmetric jump model is proposed...
