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GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate.
Shyh-Wei Chen
Chung-Hua Shen
Published in:
Math. Comput. Simul. (2004)
Keyphrases
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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