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Macroeconomic announcements, volatility, and interrelationships: An examination of the UK interest rate and equity markets

✍ Scribed by Brad Jones; Chien-Ting Lin; A. Mansur M. Masih

Book ID: 116577232
Publisher: Elsevier Science
Year: 2005
Tongue: English
Weight: 186 KB
Volume: 14
Category: Article
ISSN: 1057-5219
DOI: 10.1016/j.irfa.2004.10.001

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## 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