Modeling and estimating the jump risk of exchange rates: Applications to RMB
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Cristescu, C.P. & Stan, C. & Scarlat, E.I., 2009. "The dynamics of exchange rate time series and the chaos game," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(23), pages 4845-4855.
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- Li, Xiao-Ping & Feng, Yun & Wu, Chong-Feng & Xu, Wei-Dong, 2013. "Response of the term structure of forward exchange rate to jump in the interest rate," Economic Modelling, Elsevier, vol. 30(C), pages 863-874.
More about this item
KeywordsJump risk; MCMC; SVDJ model;
StatisticsAccess and download statistics
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