The economic role of jumps in EUR/USD and USD/JPY exchange rates (Record no. 162919)
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| fixed length control field | 01268nam a22002537a 4500 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | ZW-GwMSU |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20230717123301.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 230717b |||||||| |||| 00| 0 eng d |
| 040 ## - CATALOGING SOURCE | |
| Original cataloging agency | MSU |
| Transcribing agency | MSU |
| Description conventions | rda |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | LI, Xiao - Ping |
| 245 ## - TITLE STATEMENT | |
| Title | The economic role of jumps in EUR/USD and USD/JPY exchange rates |
| 264 ## - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE | |
| Place of production, publication, distribution, manufacture | New York |
| Name of producer, publisher, distributor, manufacturer | Taylor & Francis |
| Date of production, publication, distribution, manufacture, or copyright notice | 2013 |
| 336 ## - CONTENT TYPE | |
| Source | rdacontent |
| Content type term | text |
| Content type code | txt |
| 337 ## - MEDIA TYPE | |
| Source | rdamedia |
| Media type term | unmediated |
| Media type code | n |
| 338 ## - CARRIER TYPE | |
| Source | rdacarrier |
| Carrier type term | volume |
| Carrier type code | nc |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Applied Economics Letters |
| Volume/sequential designation | Volume , number , |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This study investigates the economic role of jumps in foreign currency market. We fit exchange rates by the stochastic volatility with correlated jumps (SVCJ) model, and use Markov Chain Monte Carlo (MCMC) approach to estimate the model and identify jumps in exchange rates. Our empirical analysis of EUR/USD and USD/JPY exchange rates suggest that SVCJ model is a good characterization for exchange rates. We find that the jumps in the currency markets are closely connected with significant economic and political events. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | jumps |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | SVCJ model |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name entry element | MCMC approach |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | ZHOU, Chun - Yang |
| 856 ## - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | https://doi.org/10.1080/13504851.2013.818206 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | Journal Article |
| Withdrawn status | Lost status | Source of classification or shelving scheme | Damaged status | Not for loan | Home library | Current library | Shelving location | Date acquired | Serial Enumeration / chronology | Total Checkouts | Full call number | Date last seen | Price effective from | Koha item type | Public note |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Library of Congress Classification | Main Library | Main Library | - Special Collections | 17/07/2023 | Vol.20 , No. 13 - 15 (Oct 2013) | HB1.A666 APP | 17/07/2023 | 17/07/2023 | Journal Article | For In House Use Only |