期刊論文
| 學年 | 89 |
|---|---|
| 學期 | 2 |
| 出版（發表）日期 | 2001-07-01 |
| 作品名稱 | A flexible parametric GARCH model with an application to exchange rates |
| 作品名稱（其他語言） | |
| 著者 | 王凱立; Wang, Kai-li; Fawson, Christopher; Barrett, Christopher B.; McDonald, James B. |
| 單位 | 淡江大學國際貿易學系暨國際企業研究所 |
| 出版者 | John Wiley & Sons |
| 著錄名稱、卷期、頁數 | Journal of applied econometrics 16(4), pp.521-536 |
| 摘要 | Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a GARCH model, with a flexible parametric error distribution based on the exponential generalized beta (EGB) family of distributions. Applied to daily US dollar exchange rate data for six major currencies, evidence based on a comparison of actual and predicted higher-order moments and goodness-of-fit tests favours the GARCH-EGB2 model over more conventional GARCH-t and EGARCH-t model alternatives, particularly for exchange rate data characterized by skewness. |
| 關鍵字 | |
| 語言 | en |
| ISSN | 0883-7252 |
| 期刊性質 | 國外 |
| 收錄於 | |
| 產學合作 | |
| 通訊作者 | |
| 審稿制度 | 否 |
| 國別 | GBR |
| 公開徵稿 | |
| 出版型式 | ,紙本 |
| 相關連結 |
機構典藏連結 ( http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/24390 ) |