The Conditional Heteroscedasticity of the Yen-Dollar Exchange Rates
This paper examines the conditional heteroscedasticity of the yen-dollar exchange rate. A model is constructed by extending the asymmetric power autoregressive conditional heteroscedasticity model to a process that is fractionally integrated. It is found that, unlike the equity markets, the apprecia...
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
1998
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/375 https://ink.library.smu.edu.sg/context/soe_research/article/1374/viewcontent/_SICI_1099_1255_199801_02_13_1_49_AID_JAE459_3.0.CO_2_O.pdf |
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