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Jumps and time-varying correlations in daily foreign exchange rates

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  • Chang, Kook-Hyun
  • Kim, Myung-Jig

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  • Chang, Kook-Hyun & Kim, Myung-Jig, 2001. "Jumps and time-varying correlations in daily foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 611-637, October.
    • Handle: RePEc:eee:jimfin:v:20:y:2001:i:5:p:611-637
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    18. Nimalendran, M, 1994. "Estimating the Effects of Information Surprises and Trading on Stock Returns Using a Mixed Jump-Diffusion Model," The Review of Financial Studies, Society for Financial Studies, vol. 7(3), pages 451-473.
    19. Campa, Jose Manuel & Chang, P. H. Kevin, 1998. "The forecasting ability of correlations implied in foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 17(6), pages 855-880, December.
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    26. Kim, Myung-Jig & Oh, Young-Ho & Brooks, Robert, 1994. "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(4), pages 609-631, December.
    27. Nelson, Charles R & Kim, Myung J, 1993. "Predictable Stock Returns: The Role of Small Sample Bias," Journal of Finance, American Finance Association, vol. 48(2), pages 641-661, June.
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    2. Lee, Ming-Chih & Chiu, Chien-Liang & Lee, Yen-Hsien, 2007. "Is twin behavior of Nikkei 225 index futures the same?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 377(1), pages 199-210.
    3. Cho-Min Lin & Yen-Hsien Lee & Chien-Liang Chiu, 2010. "Friends or enemies? Foreign investors in Taiwan," Applied Economics Letters, Taylor & Francis Journals, vol. 17(10), pages 977-982.
    4. Ana Filipa Carvalho & Jose Sa da Costa & Jose Assis Lopes, 2006. "A systematic modelling strategy for futures markets volatility," Applied Financial Economics, Taylor & Francis Journals, vol. 16(11), pages 819-833.
    5. Wan-Hsiu Cheng, 2008. "Overestimation in the Traditional GARCH Model During Jump Periods," Economics Bulletin, AccessEcon, vol. 3(68), pages 1-20.
    6. Ming-Chih Lee & Wan-Hsiu Cheng, 2007. "Correlated jumps in crude oil and gasoline during the Gulf War," Applied Economics, Taylor & Francis Journals, vol. 39(7), pages 903-913.
    7. Ramaprasad Bhar & Damien Lee, 2018. "Alternative characterization of volatility of short-term interest rate," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(02), pages 1-15, June.
    8. Ozer-Imer, Itir & Ozkan, Ibrahim, 2014. "An empirical analysis of currency volatilities during the recent global financial crisis," Economic Modelling, Elsevier, vol. 43(C), pages 394-406.
    9. Jui-Cheng Hung & Shi-Jie Jiang & Chien-Liang Chiu, 2007. "Jump risk of Presidential election: evidence from Taiwan stock and foreign exchange markets," Applied Economics, Taylor & Francis Journals, vol. 39(17), pages 2231-2240.
    10. Chen, Chun-Da & Chiang, Shu-Mei & Huang, Tze-Chin, 2020. "The contagion effects of volatility indices across the U.S. and Europe," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    11. Wu, Tao & Gao, Xiangyun & An, Feng & Xu, Xin & Kurths, Jürgen, 2024. "Forecasting the dynamics of correlations in complex systems," Chaos, Solitons & Fractals, Elsevier, vol. 178(C).
    12. Quan-Hoang Vuong, 2004. "Analyses on Gold and US Dollar in Vietnam's Transitional Economy," Working Papers CEB 04-033.RS, ULB -- Universite Libre de Bruxelles.
    13. Ewald, Christian & Zou, Yihan, 2021. "Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield: Do fish jump?," European Journal of Operational Research, Elsevier, vol. 294(2), pages 801-815.
    14. Bhar, Ramaprasad & Colwell, David B. & Xiao, Yuewen, 2013. "A jump diffusion model for spot electricity prices and market price of risk," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(15), pages 3213-3222.
    15. Lin, Cho-Min & Lee, Yen-Hsien & Chiu, Chien-Liang, 2009. "Structural changes in foreign investors' trading behavior and the corresponding impact on Taiwan's stock market," Research in International Business and Finance, Elsevier, vol. 23(1), pages 78-89, January.
    16. Chien-Liang Chiu & Shu-Mei Chiang & Feng Kao, 2006. "The relationship between the S&P 500 spot and futures indices: brothers or cousins?," Applied Financial Economics, Taylor & Francis Journals, vol. 16(5), pages 405-412.
    17. Ming-Chih Lee & Yen-Hsien Lee, 2008. "Do foreign trading patterns cause abnormal information from Taiwanese stock markets?," Applied Economics Letters, Taylor & Francis Journals, vol. 15(15), pages 1219-1224.
    18. Sarantis Tsiaplias & Chew Lian Chua, 2013. "A Multivariate GARCH Model Incorporating the Direct and Indirect Transmission of Shocks," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 244-271, February.
    19. Chen, Shyh-Wei & Shen, Chung-Hua, 2004. "GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 67(3), pages 201-216.

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