𝔖 Bobbio Scriptorium
✦   LIBER   ✦

GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate

✍ Scribed by Shyh-Wei Chen; Chung-Hua Shen

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
261 KB
Volume
67
Category
Article
ISSN
0378-4754

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

The economics of exchange rate volatilit
The economics of exchange rate volatility asymmetry
✍ Michael McKenzie πŸ“‚ Article πŸ“… 2002 πŸ› John Wiley and Sons 🌐 English βš– 151 KB

## Abstract One commonly observed feature of financial market volatility is the presence of asymmetry whereby shocks to the market do not generate equal responses. This phenomenon has been attributed to the leverage effect for stock markets. For exchange rates, asymmetry has also been documented wi

The dynamics of DM/Β£ exchange rate volat
The dynamics of DM/Β£ exchange rate volatility: a SWARCH analysis
✍ Wai Mun Fong πŸ“‚ Article πŸ“… 1998 πŸ› John Wiley and Sons 🌐 English βš– 189 KB πŸ‘ 1 views

This paper applies the switching ARCH model introduced by Hamilton and Susmel (1994) to weekly DMaΒ£ exchange rates for the period March 1987Β±December 1994. The sample period spans the UK's ERM tenure, which lasted until the currency crisis of September 1992. The SWARCH model generalizes standard ARC

The effect of a transaction tax on excha
The effect of a transaction tax on exchange rate volatility
✍ Markku Lanne; Timo Vesala πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 139 KB πŸ‘ 1 views

## Abstract We argue that a transaction tax is likely to amplify, not dampen, volatility in foreign exchange markets. Our argument stems from the decentralized trading practice and the presumable discrepancy between β€˜informed’ and β€˜uninformed’ traders' valuations. Given that the informed valuations