關鍵字查詢 | 類別:期刊論文 | | 關鍵字:the Volatility Relationship between EUD and RMB

[第一頁][上頁]1[次頁][最末頁]目前在第 1 頁 / 共有 01 筆查詢結果
序號 學年期 教師動態
1 99/2 財金系 李沃牆 教授 期刊論文 發佈 The Sovereign Risk of Official Intervention: the Volatility Relationship between EUD and RMB , [99-2] :The Sovereign Risk of Official Intervention: the Volatility Relationship between EUD and RMB期刊論文The Sovereign Risk of Official Intervention: the Volatility Relationship between EUD and RMB李沃牆; Lee, Wo-chiang; 方鏘傑; Fang, Chiang-jye淡江大學財務金融學系Exchange Rate; Copula; ARMAX-GJR-GARCHMahe: EuroJournals PublishingInternational Research Journal of Finance and Economics 69, pp.7-18We provide new evidence regarding the shock effects of the PBC intervention in the FX market by comparing the volatility of exchange rate of Euro dollar (EUD) and Chinese Ranminbi (RMB) against the US dollar (USD) and showing policy interference of Chinese the exchange rate system. Firstly we model the ARMAX-GJR-GARCH equation to reexamine interest parity theory and find the structure break of the exchange rate of the RMB then we set up our new Copula-ARMAX-GJR-GARCH model by using daily exchange rate of EUD and RMB against USD during the period from January 2005 to March 2010. The result provides the very important in
[第一頁][上頁]1[次頁][最末頁]目前在第 1 頁 / 共有 01 筆查詢結果