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- W2021287445 abstract "This paper develops a new bivariate jump model to study jump dynamics in foreign exchange returns. The model extends a multivariate GARCH parameterization to include a bivariate correlated jump process. The conditional covariance matrix has the Baba, Engle, Kraft, and Kroner (1989) structure, while the bivariate jumps are governed by a Correlated Bivariate Poisson (CBP) function. Using daily data we find evidence of both independent currency specific jumps, as well as jumps common to both exchange rates. The paper concludes by investigating a time-varying structure for the arrival of jumps that relaxes the assumption of constant and bounded jump correlation imposed by the CBP function." @default.
- W2021287445 created "2016-06-24" @default.
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- W2021287445 date "2005-04-15" @default.
- W2021287445 modified "2023-09-28" @default.
- W2021287445 title "A Correlated Bivariate Poisson Jump Model for Foreign Exchange" @default.
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