| dc.contributor | 金融系 | |
| dc.creator (作者) | Shen, Chung-Hua;Chen, Shyh-wei | |
| dc.creator (作者) | 沈中華 | zh_TW |
| dc.date (日期) | 2004 | |
| dc.date.accessioned | 23-Mar-2015 18:19:22 (UTC+8) | - |
| dc.date.available | 23-Mar-2015 18:19:22 (UTC+8) | - |
| dc.date.issued (上傳時間) | 23-Mar-2015 18:19:22 (UTC+8) | - |
| dc.identifier.uri (URI) | http://nccur.lib.nccu.edu.tw/handle/140.119/73960 | - |
| dc.description.abstract (摘要) | 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 (關聯) | Mathematics and Computers in Simulation , 67(3), 201-216 | |
| dc.subject (關鍵詞) | Component,model in volatiltiy; GARCH; Jump | |
| dc.title (題名) | GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate | |
| dc.type (資料類型) | article | en |
| dc.identifier.doi (DOI) | 10.1016/j.matcom.2004.06.006 | en_US |
| dc.doi.uri (DOI) | http://dx.doi.org/10.1016/j.matcom.2004.06.006 | en_US |
