Jumps and time-varying correlations in daily foreign exchange rates

Journal of International Money and Finance

Volumn 20, Issue 5, 2001, Pages 611-637

  Chang, Kook Hyun ^a   Kim, Myung Jig ^b  

^a Hallym University   (South Korea)

^b Hanyang University   (South Korea)

Author keywords

C32; Correlation forecasts; E32; EMS crisis; Foreign exchange rate; Latent factor model; Multivariate GARCH; Value at risk; Volatility

Indexed keywords

EID: 0041825343     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(01)00007-9     Document Type: Article

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