Matches in SemOpenAlex for { <https://semopenalex.org/work/W2078562174> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W2078562174 endingPage "216" @default.
- W2078562174 startingPage "201" @default.
- W2078562174 abstract "This paper investigates whether there are three distinctive features in financial asset prices, that is, time-varying conditional volatility, jumps and the component factors of volatility. It adopts a component-GARCH-Jump, which can efficiently capture the three features simultaneously. Our results demonstrate that the three features exist in the Taiwan exchange rate. Besides time-varying conditional volatility, our model identifies 172 jumps between 5 January 1988 and 21 March 2003. The empirical evidence shows that the permanent component of the conditional variance is a relatively smooth movement except for a fairly sharp shift which began in 1997. This means that the effect of the Asian crisis shock might very well have exerted not only a transitory jump effect, but also a permanent effect on Taiwan’s exchange rate." @default.
- W2078562174 created "2016-06-24" @default.
- W2078562174 creator A5013197952 @default.
- W2078562174 creator A5023560843 @default.
- W2078562174 date "2004-11-01" @default.
- W2078562174 modified "2023-09-24" @default.
- W2078562174 title "GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate" @default.
- W2078562174 cites W1897333015 @default.
- W2078562174 cites W1966268097 @default.
- W2078562174 cites W1979575715 @default.
- W2078562174 cites W1988044166 @default.
- W2078562174 cites W1994177366 @default.
- W2078562174 cites W1999996900 @default.
- W2078562174 cites W2004676977 @default.
- W2078562174 cites W2042502701 @default.
- W2078562174 cites W2063750298 @default.
- W2078562174 cites W2092578507 @default.
- W2078562174 cites W2151065060 @default.
- W2078562174 cites W2889716543 @default.
- W2078562174 cites W4235701767 @default.
- W2078562174 cites W4239693486 @default.
- W2078562174 cites W4243392027 @default.
- W2078562174 cites W4250856143 @default.
- W2078562174 doi "https://doi.org/10.1016/j.matcom.2004.06.006" @default.
- W2078562174 hasPublicationYear "2004" @default.
- W2078562174 type Work @default.
- W2078562174 sameAs 2078562174 @default.
- W2078562174 citedByCount "16" @default.
- W2078562174 countsByYear W20785621742012 @default.
- W2078562174 countsByYear W20785621742014 @default.
- W2078562174 countsByYear W20785621742015 @default.
- W2078562174 countsByYear W20785621742016 @default.
- W2078562174 countsByYear W20785621742018 @default.
- W2078562174 countsByYear W20785621742019 @default.
- W2078562174 crossrefType "journal-article" @default.
- W2078562174 hasAuthorship W2078562174A5013197952 @default.
- W2078562174 hasAuthorship W2078562174A5023560843 @default.
- W2078562174 hasConcept C117996083 @default.
- W2078562174 hasConcept C121332964 @default.
- W2078562174 hasConcept C126322002 @default.
- W2078562174 hasConcept C13290067 @default.
- W2078562174 hasConcept C149782125 @default.
- W2078562174 hasConcept C162324750 @default.
- W2078562174 hasConcept C21430997 @default.
- W2078562174 hasConcept C23922673 @default.
- W2078562174 hasConcept C2776988154 @default.
- W2078562174 hasConcept C2780695682 @default.
- W2078562174 hasConcept C2781300812 @default.
- W2078562174 hasConcept C33923547 @default.
- W2078562174 hasConcept C556758197 @default.
- W2078562174 hasConcept C62520636 @default.
- W2078562174 hasConcept C71924100 @default.
- W2078562174 hasConcept C91602232 @default.
- W2078562174 hasConceptScore W2078562174C117996083 @default.
- W2078562174 hasConceptScore W2078562174C121332964 @default.
- W2078562174 hasConceptScore W2078562174C126322002 @default.
- W2078562174 hasConceptScore W2078562174C13290067 @default.
- W2078562174 hasConceptScore W2078562174C149782125 @default.
- W2078562174 hasConceptScore W2078562174C162324750 @default.
- W2078562174 hasConceptScore W2078562174C21430997 @default.
- W2078562174 hasConceptScore W2078562174C23922673 @default.
- W2078562174 hasConceptScore W2078562174C2776988154 @default.
- W2078562174 hasConceptScore W2078562174C2780695682 @default.
- W2078562174 hasConceptScore W2078562174C2781300812 @default.
- W2078562174 hasConceptScore W2078562174C33923547 @default.
- W2078562174 hasConceptScore W2078562174C556758197 @default.
- W2078562174 hasConceptScore W2078562174C62520636 @default.
- W2078562174 hasConceptScore W2078562174C71924100 @default.
- W2078562174 hasConceptScore W2078562174C91602232 @default.
- W2078562174 hasIssue "3" @default.
- W2078562174 hasLocation W20785621741 @default.
- W2078562174 hasOpenAccess W2078562174 @default.
- W2078562174 hasPrimaryLocation W20785621741 @default.
- W2078562174 hasRelatedWork W1986240342 @default.
- W2078562174 hasRelatedWork W2078562174 @default.
- W2078562174 hasRelatedWork W2518902180 @default.
- W2078562174 hasRelatedWork W2595080303 @default.
- W2078562174 hasRelatedWork W2768197740 @default.
- W2078562174 hasRelatedWork W3142047101 @default.
- W2078562174 hasRelatedWork W3151546673 @default.
- W2078562174 hasRelatedWork W4237942627 @default.
- W2078562174 hasRelatedWork W4255996875 @default.
- W2078562174 hasRelatedWork W3123200698 @default.
- W2078562174 hasVolume "67" @default.
- W2078562174 isParatext "false" @default.
- W2078562174 isRetracted "false" @default.
- W2078562174 magId "2078562174" @default.
- W2078562174 workType "article" @default.