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GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate.

Shyh-Wei ChenChung-Hua Shen
Published in: Math. Comput. Simul. (2004)
Keyphrases
  • exchange rate
  • foreign exchange
  • stock price
  • financial time series
  • currency exchange
  • long run
  • financial crisis
  • knowledge discovery
  • risk aversion
  • machine learning
  • decision making
  • financial markets