An Application of Flexible Parametric Regime-Switching Model of the Exchange Rates in Asian Area
碩士 === 國立嘉義大學 === 管理研究所 === 95 === The empirical results in exchange rate changes are exhibit leptokurtosis, skewness and volatility clustering. In traditional GARCH models, which always imply spurious high GARCH persistence and that is a distinct error in the estimation. Markov Switching GARCH (MS-...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67735468587089678022 |