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

研究成果: Article査読

2 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)69-82
ページ数14
ジャーナルAsia-Pacific Financial Markets
7
1
DOI
出版ステータスPublished - 2000 1 1
外部発表はい

ASJC Scopus subject areas

  • Finance

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