مرکز منطقه ای اطلاع رساني علوم و فناوري - Jumps and time-varying correlations in daily foreign exchange rates

Title of article :

Jumps and time-varying correlations in daily foreign exchange rates

Author/Authors :

Kook-Hyun Chang، نويسنده , , Myung-Jig Kim، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2001

Pages :

From page :

611

To page :

637

Keywords :

value at risk , Volatility , EMS crisis , Foreign exchange rate , Correlation forecasts , Latent factor model , MultivariateGARCH

Journal title :

Journal of International Money and Finance

Serial Year :

2001

Journal title :

Journal of International Money and Finance

Record number :

191299

Link To Document :