Site Accessibility Statement
Wilfrid Laurier University Leaf
October 27, 2016
Canadian Excellence


Wing Hong Chan

A Correlated Bivariate Poisson Jump Model for Foreign Exchange (ABSTRACT)

Chan, W.H.

published: 2003 | Research publication | Refereed Journals - Economics

Chan, W.H. (2003). "A Correlated Bivariate Poisson Jump Model for Foreign Exchange". Emprical Economics, 28 (4), 669.

ABSTRACT:  This paper develops a new bivariate jump model to study jump dynamics in foreign exchange returns. The model extends a multivariate GARCH parameterization to include a bivariate correlated jump process. The conditional covariance matrix has the Baba, Engle, Kraft, and Kroner (1989) structure, while the bivariate jumps are governed by a Correlated Bivariate Poisson (CBP) function. Using daily data  we find evidence of both independent currency specific jumps, as well as jumps common to both exchange rates of the Canadian dollar and Japanese Yen against the U.S. dollar. The paper concludes by investigating a time-varying structure for the arrival of jumps that  relaxes the assumption of constant and bounded jump correlation imposed by the CBP function.

Download the article at:

revised Nov 11/04

View all Wing Hong Chan documents