Please use this identifier to cite or link to this item:
https://ah.lib.nccu.edu.tw/handle/140.119/73960
DC Field | Value | Language |
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dc.contributor | 金融系 | |
dc.creator | Shen, Chung-Hua;Chen, Shyh-wei | |
dc.creator | 沈中華 | zh_TW |
dc.date | 2004 | |
dc.date.accessioned | 2015-03-23T10:19:22Z | - |
dc.date.available | 2015-03-23T10:19:22Z | - |
dc.date.issued | 2015-03-23T10:19:22Z | - |
dc.identifier.uri | http://nccur.lib.nccu.edu.tw/handle/140.119/73960 | - |
dc.description.abstract | This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our results demonstrate,that the three features exist in the Taiwan exchange rate. Besides time-varying conditional volatility, our model identifies 172 jumps between 5 January 1988 and 21 March 2003. The empirical evidence shows that the permanent,component,of the conditional variance is a relatively smooth movement,except for a fairly sharp shift which began in 1997. This means,that the effect of the Asian crisis shock might very well have exerted not only a transitory jump effect, but also a permanent effect on Taiwan’s exchange rate. | |
dc.format.extent | 267755 bytes | - |
dc.format.mimetype | application/pdf | - |
dc.relation | Mathematics and Computers in Simulation , 67(3), 201-216 | |
dc.subject | Component,model in volatiltiy; GARCH; Jump | |
dc.title | GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate | |
dc.type | article | en |
dc.identifier.doi | 10.1016/j.matcom.2004.06.006 | en_US |
dc.doi.uri | http://dx.doi.org/10.1016/j.matcom.2004.06.006 | en_US |
item.cerifentitytype | Publications | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | article | - |
item.fulltext | With Fulltext | - |
item.grantfulltext | restricted | - |
Appears in Collections: | 期刊論文 |
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File | Description | Size | Format | |
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S0378475404002046.pdf | 261.48 kB | Adobe PDF2 | View/Open |
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