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    National Tsing Hua University Institutional Repository > 科技管理學院  > 計量財務金融學系 > 會議論文 >  The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht


    Please use this identifier to cite or link to this item: http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62038


    Title: The Jump Behavior of Foreign Exchange Market: Analysis of Thai Baht
    Authors: Jow-Ran Chang;Mao-Wei Hung;Cheng-Few Lee;Hsin-Min Lu
    教師: 張焯然
    Date: 2004
    Publisher: World Scientific
    Relation: Review of Pacific Basin Financial Markets and Policies,World Scientific,Vol. 10, No. 2, (2007) ,265–288
    Keywords: Asian financial crisis
    foreign exchange market
    jump behavior
    Markovchain Monte Carlo
    stochastic volatility
    Abstract: We use square root stochastic volatility with or without jump model to study the heteroskedasticity and jump behavior of the Thai Baht. Bayesian factor is used to evaluate the explanatory power of competing model. It turns out that the square root stochastic volatility model with independent jump in observation and state equations (SVIJ) has the best explanatory power to our sample. Using the estimation results of the SVIJ model, we are able to link the major events of the Asian financial crisis to the jump behavior of either volatility or observation.
    URI: http://ntur.lib.ntu.edu.tw/bitstream/246246/84738/1/32.pdf
    www.worldscientific.com/
    http://nthur.lib.nthu.edu.tw/dspace/handle/987654321/62038
    Appears in Collections:[計量財務金融學系] 會議論文

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