淡江大學機構典藏:Item 987654321/24390
English  |  正體中文  |  简体中文  |  全文笔数/总笔数 : 64191/96979 (66%)
造访人次 : 8310431      在线人数 : 7433
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
搜寻范围 查询小技巧：
  • 您可在西文检索词汇前后加上"双引号"，以获取较精准的检索结果
  • 若欲以作者姓名搜寻，建议至进阶搜寻限定作者字段，可获得较完整数据
    •  进阶搜寻


    jsp.display-item.identifier=請使用永久網址來引用或連結此文件: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/24390


    题名: A flexible parametric GARCH model with an application to exchange rates
    作者: 王凱立;Wang, Kai-li;Fawson, Christopher;Barrett, Christopher B.;McDonald, James B.
    贡献者: 淡江大學國際貿易學系暨國際企業研究所
    日期: 2001-07
    上传时间: 2009-11-30 18:19:58 (UTC+8)
    出版者: John Wiley & Sons
    摘要: Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate data for six major currencies, evidence based on a comparison of actual and predicted higher-order moments and goodness-of-fit tests favours the GARCH-EGB2 model over more conventional GARCH-t and EGARCH-t model alternatives, particularly for exchange rate data characterized by skewness.
    關聯: Journal of applied econometrics 16(4), pp.521-536
    DOI: 10.1002/jae.606
    显示于类别:[國際企業學系暨研究所] 期刊論文

    文件中的档案:

    档案 大小格式浏览次数
    index.html0KbHTML154检视/开启

    在機構典藏中所有的数据项都受到原著作权保护.

    TAIR相关文章

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - 回馈