https://scholars.lib.ntu.edu.tw/handle/123456789/103580
標題: | The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht | 作者: | Chang, Jow-Ran MAO-WEI HUNG Lee, Cheng-Few Lu, Hsin-Min |
關鍵字: | Asian financial crisis; Bayesian factor; Heteroskedasticity; Jump; Stochastic volatility model with independent jumps | 公開日期: | 2007 | 卷: | 10 | 期: | 2 | 起(迄)頁: | 265-288 | 來源出版物: | Review of Pacific Basin Financial Markets and Policies | 摘要: | We study the heteroskedasticity and jump behavior of the Thai baht using models of the square root stochastic volatility with or without jumps. The Bayesian factor is used to evaluate the explanatory power of competing models. The results suggest that in our sample, the square root stochastic volatility model with independent jumps in the observation and state equations (SVIJ) has the best explanatory power for the 1996 Asian financial crisis. Using the estimation results of the SVIJ model, we are able to link the major events of the Asian financial crisis to jump behavior in either volatility or observation. ? 2021 by World Scientific Publishing Co. Pte. Ltd. |
URI: | http://ntur.lib.ntu.edu.tw//handle/246246/84738 | DOI: | 10.1142/S0219091507001069 |
顯示於: | 國際企業學系 |
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