GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate (Q706644)
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scientific article; zbMATH DE number 2132511
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| English | GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate |
scientific article; zbMATH DE number 2132511 |
Statements
GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate (English)
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9 February 2005
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Component model in volatiltiy
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GARCH
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Jump
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0.7566564679145813
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0.7200683355331421
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0.7152512073516846
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0.7148878574371338
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