Volatility Transmissions between Renminbi and Asia-Pacific On-Shore and Off-Shore U.S. Dollar Futures
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发布日期:2008年11月12日 上次修订日期:2021年11月27日

摘要

This paper estimates switching autoregressive conditional heteroskedasticity (SWARCH) time series models for weekly returns of nine Asian forward exchange rates. We find two regimes with different volatility levels, whereby each regime displays considerable persistence. Our analysis provides evidence that the knock-on effects from China’s currency forwards markets upon other Asian countries have been modest, in that little evidence exists for co-dependence of volatility regimes.

张强. 逆向选择还是正向选择?——我国健康险市场的实证研究【EB/OL】工作论文(2012-10-15)http://

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