Modeling and estimating the jump risk of exchange rates: Applications to RMB

Physica A: Statistical Mechanics and its Applications

Volumn 387, Issue 26, 2008, Pages 6575-6583

  Wang, Yiming ^a   Tong, Hanfei ^b  

^a XIAMEN UNIVERSITY   (China)

^b Tasly Holding Group Co   (China)

Author keywords

Jump risk; MCMC; SVDJ model

Indexed keywords

CONTINUOUS TIME SYSTEMS; ECONOMIC ANALYSIS; FINANCE; RISK PERCEPTION; STOCHASTIC SYSTEMS;

CONTINUOUS-TIME; COUNTING PROCESS; DIFFUSION MOTION; EXCHANGE RATES; FOREIGN CURRENCY; JUMP RISK; MCMC; STOCHASTIC VOLATILITY MODEL;

STOCHASTIC MODELS;

EID: 52949089267     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2008.08.017     Document Type: Article

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