English  |  正體中文  |  简体中文  |  Items with full text/Total items : 17776/20117 (88%)
Visitors : 12184629      Online Users : 359
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
  • Adv. Search
    HomeLoginUploadHelpAboutAdminister Goto mobile version
    Please use this identifier to cite or link to this item: http://ir.cnu.edu.tw/handle/310902800/25062

    標題: An Asymmetric and DCC Analysis of Two Exchange Rate Market Returns: An Evidence Study of the Japan and the Korea’s Exchange Rate Markets
    作者: Wann-Jyi Horng
    貢獻者: 醫務管理系
    日期: 2009-12-07
    上傳時間: 2012-03-05 13:33:50 (UTC+8)
    摘要: The empirical results show that the dynamic conditional correlation (DCC) and the bivariate EGARCH (1, 2) model is appropriate in evaluating the relationship of the Japan and the Korea’s exchange rate markets. The empirical result also indicates that the Japan and the Korea’s exchange rate markets is a positive relation. The average estimation value of correlation coefficient equals to 0.288, which implies that the two exchange rate markets is synchronized influence. Besides, the empirical result also shows that the Japan’s exchange rate market does have an asymmetrical effect, but the Korea’s exchange rate market does not have asymmetrical effect. And the Korea’s exchange rate market return also receives the influence of the Japan’s exchange rate return’s volatility. Based on the papers of Nelson (1991) and Engle (2002), the bivariate EGARCH(1, 2) model with a DCC has the better explanation ability compared to the traditional bivariate GARCH(1, 1) model.
    關聯: The Fourth International Conference on Innovative Computing, Information and Control,起迄日:2009/12/7~2009/12/9,地點:高雄
    Appears in Collections:[醫務管理系(所)] 會議論文

    Files in This Item:

    File Description SizeFormat
    98_202_pro.pdf68KbAdobe PDF244View/Open

    All items in CNU IR are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback