지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
This paper analyzes the potential sources driving the long memory property in the volatility process of the daily Korean Won (KRW)-US Dollar (USD) exchange rates. Based on the Adaptive FIGARCH model and the jump diffusion model, this paper proposes a new specification of the volatility process, which links the long memory property to jumps and structural breaksall together rather than separately as in previous studies.
The model is estimated with the daily data on the KRW-USD exchange rate returns between 1999 and 2007. The empirical results show strong evidence that the Adaptive FIGARCH model combined with the Bernoulli jump process which takes into account the jumps and the structural breaks jointly could explain almost all of the long memory property in the volatility of the KRW-USD exchange returns. The implication is that both the structural breaks and the jumps are the major sources of the long memory property in the volatility.
목차
등록된 정보가 없습니다.
참고문헌 (27)
참고문헌 신청
Aggarwal, R / 1999 / Volatility in emerging stock markets / Journal of Financial and Quantitative Analysis 34 : 33 ~ 55
Andersen, T. G / 2003 / Micro effects of macro announcements:real-time price discovery in foreign exchange / American Economic Review 93 : 38 ~ 62
Andersen, T.G / 1998 / Deutsche mark-dollar volatility: intraday activity, patterns, macroeconomic announcements and longer run dependence / Journal of Finance 53 : 219 ~ 265
Baillie, R.T / 1996 / Fractionally integrated generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 74 : 3 ~ 30
Baillie, R.T / 2001 / Comment on testing target zone models using efficient methods of moments / Journal of Business and Economic Statistics 19 : 273 ~ 277
Andersen, T. G / 2003 / Micro effects of macro announcements:real-time price discovery in foreign exchange / American Economic Review 93 : 38 ~ 62
Andersen, T.G / 1998 / Deutsche mark-dollar volatility: intraday activity, patterns, macroeconomic announcements and longer run dependence / Journal of Finance 53 : 219 ~ 265
Baillie, R.T / 1996 / Fractionally integrated generalized autoregressive conditional heteroskedasticity / Journal of Econometrics 74 : 3 ~ 30
Baillie, R.T / 2001 / Comment on testing target zone models using efficient methods of moments / Journal of Business and Economic Statistics 19 : 273 ~ 277
이 논문의 저자 정보
최근 본 자료
댓글(0)
0