A Study of Volatile Asymmetric Mean Reversion Phenomenon in Foreign Exchange Market.
碩士 === 國立臺北大學 === 企業管理學系 === 93 === This paper will adopt the nonlinear STAR model and ANST-GARCH model to capture the nonlinear mean reversion and the asymmetric volatility.This paper investigates the characteristics of the real effective exchange rate in the U.S.$, Japanese yen, Deutsche mark, Po...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2005
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| Online Access: | http://ndltd.ncl.edu.tw/handle/36182745428790046044 |