haku: @indexterm AUTOREGRESSION / yhteensä: 20
viite: 13 / 20
| Tekijä: | Chang, K.-H. Kim, M.-J. |
| Otsikko: | Jumps and time-varying correlations in daily foreign exchange rates |
| Lehti: | Journal of International Money and Finance
2001 : OCT, VOL. 20:5, p. 611-637 |
| Asiasana: | AUTOREGRESSION EXCHANGE RATES FACTOR ANALYSIS MULTIVARIATE ANALYSIS VALUE-AT-RISK VOLATILITY |
| Kieli: | eng |
| Tiivistelmä: | This paper extends the multivariate latent factor ARCH model approach of Diebold and Nerlove (Journal of Applied Econometrics 4, 1989, 1) as a parsimonious alternative that pays particular attention to time series properties of daily foreign exchange rates such as jumps and to changing volatilities in both the common and country-specific factors. |
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