GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate

Author:

Chen Shyh-Wei,Shen Chung-Hua

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Numerical Analysis,General Computer Science,Theoretical Computer Science

Reference20 articles.

1. On jumps in common stock prices and their impact on call option pricing;Ball;J. Finance,1985

2. Generalized autoregressive conditional heteroscedasticity;Bollerslev;J. Econometrics,1986

3. Jumps and time varying correlations in daily foreign exchange rates;Chang;J. Int. Money Finance,2001

4. Long swings in the dollar: are they in the data and do markets know it?;Engel;Am. Econ. Rev,1990

5. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation;Engle;Econometrica,1982

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