Change in volatility in the won/U.S. dollar daily exchange rate: Stochastic volatility model

Asia-Pacific Financial Markets

Volumn 7, Issue 1, 2000, Pages 83-96

  Lee, Jinsoo ^a  

^a SK Corporation   (South Korea)

Author keywords

Markov chain Monte Carlo; Persistence; Stochastic volatility; Won U.S. dollar exchange rate

Indexed keywords

EID: 10644255098     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010092722614     Document Type: Article

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