Regime-shift models of daily returns are estimated for the foreign exchange rates of the Asian currencies that suffered from drastic devaluation during the Asian financial crisis in 1997, and the change points are detected for their volatility structures. Furthermore, how the persistence in the volatility of their exchange rates changed after the crisis is examined.
|Number of pages||14|
|Journal||Asia-Pacific Financial Markets|
|Publication status||Published - 2000 Jan 1|
- Foreign exchange rate
- Markov chain Monte Carlo
ASJC Scopus subject areas