Structural changes in volatility of foreign exchange rates after the asian financial crisis

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)69-82
Number of pages14
JournalAsia-Pacific Financial Markets
Volume7
Issue number1
Publication statusPublished - 2000
Externally publishedYes

Fingerprint

Asian financial crisis
Foreign exchange rates
Structural change
Asia
Change point
Persistence
Exchange rates
Devaluation
Currency
Regime shift

Keywords

  • Foreign exchange rate
  • GARCH
  • Markov chain Monte Carlo
  • Persistence
  • Volatility

ASJC Scopus subject areas

  • Economics, Econometrics and Finance(all)

Cite this

Structural changes in volatility of foreign exchange rates after the asian financial crisis. / Nakatsuma, Teruo.

In: Asia-Pacific Financial Markets, Vol. 7, No. 1, 2000, p. 69-82.

Research output: Contribution to journalArticle

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