An International Comparison of Employment Adjustment to Exchange Rate Fluctuations

The jump component of the volatility str

The jump component of the volatility structure of interest rate futures markets: An international comparison

✍ Carl Chiarella; Thuy-Duong Tô 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 233 KB 👁 1 views

## Abstract We propose a generalization of the Shirakawa (1991) model to capture the jump component in fixed‐income markets. The model is formulated under the Heath, Jarrow, & Morton (1992) framework, and allows the presence of a Wiener noise and a finite number of Poisson noises, each associated w