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    請使用永久網址來引用或連結此文件: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/66363

    題名: The euro and pound volatility dynamics: An investigation from conditional jump process
    作者: 萬哲鈺;高崇瑋
    貢獻者: 淡江大學經濟學系
    日期: 2008-05-01
    上傳時間: 2011-10-22 17:36:25 (UTC+8)
    摘要: This paper investigates the variations of the volatility of euro and pound after the introduction of euro. A GARJI model is employed to analyze the impact of the news arrivals on the exchange rate volatility. The results are robust to the data-splitting schemes and indicate: (1) the conditional variance of euro is larger than that of pound. (2) The stability of euro exchange rates has made progress in recent years, which is accomplished by the decreases in the jump innovations. This paper supports the arguments on the determinants of exchange rate stability claimed by Mundell (1998) and Mussa (2000).
    關聯: Research in International Business and Finance 22(2), pp. 193-207
    DOI: 10.1016/j.ribaf.2007.05.002
    顯示於類別:[經濟學系暨研究所] 期刊論文


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