کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
977655 | 933200 | 2008 | 9 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Modeling and estimating the jump risk of exchange rates: Applications to RMB
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Modeling and estimating the jump risk of exchange rates: Applications to RMB Modeling and estimating the jump risk of exchange rates: Applications to RMB](/preview/png/977655.png)
چکیده انگلیسی
In this paper we propose a new type of continuous-time stochastic volatility model, SVDJ, for the spot exchange rate of RMB, and other foreign currencies. In the model, we assume that the change of exchange rate can be decomposed into two components. One is the normally small-cope innovation driven by the diffusion motion; the other is a large drop or rise engendered by the Poisson counting process. Furthermore, we develop a MCMC method to estimate our model. Empirical results indicate the significant existence of jumps in the exchange rate. Jump components explain a large proportion of the exchange rate change.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 26, 15 November 2008, Pages 6575–6583
Journal: Physica A: Statistical Mechanics and its Applications - Volume 387, Issue 26, 15 November 2008, Pages 6575–6583
نویسندگان
Yiming Wang, Hanfei Tong,