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Asia-Pacific Financial Markets
Volumn 7, Issue 1, 2000, Pages 69-82
Structural changes in volatility of foreign exchange rates after the asian financial crisis
Author keywords

Foreign exchange rate; GARCH; Markov chain Monte Carlo; Persistence; Volatility
Indexed keywords

EID: 10644222965     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010036620796     Document Type: Article
Times cited : (3)
References (10)
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  • 4
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    • Geweke, J. (1989) Bayesian inference in econometric models using Monte Carlo integration, Econometrica 57, 1317-1339.
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    • Geweke, J.1
  • 5
    • 52849084748 scopus 로고    scopus 로고
    • The Korean currency crisis and the IMF program: An insider's view
    • Kim, I. and Rhee, Y. (1998) The Korean currency crisis and the IMF program: an insider's view, Seoul J. Econom. 11, 351-380.
    • (1998) Seoul J. Econom. , vol.11 , pp. 351-380
    • Kim, I.1    Rhee, Y.2
  • 6
    • 21344495707 scopus 로고
    • Non-stationarity in GARCH models: A Bayesian analysis
    • Kleibergen, F. and Van Dijk, H. K. (1993) Non-stationarity in GARCH models: a Bayesian analysis, J. App. Econometrics 8, S41-S61.
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  • 7
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    • Bayesian analysis of GARCH models: A Markov chain sampling approach
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  • 8
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    • Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates
    • Nakatsuma, T. and Tsurumi, H. (1999) Bayesian estimation of ARMA-GARCH model of weekly foreign exchange rates, Asia-Pacific Financ. Markts 6, 71-84.
    • (1999) Asia-Pacific Financ. Markts , vol.6 , pp. 71-84
    • Nakatsuma, T.1    Tsurumi, H.2
  • 9
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  • 10
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.