GARCH, jumps and permanent and transitory components of volatility: the case of the Taiwan exchange rate

DOI10.1016/J.MATCOM.2004.06.006zbMATH Open1090.91532OpenAlexW2078562174MaRDI QIDQ706644FDOQ706644

Authors: Shyh-Wei Chen, Chung-Hua Shen 

Publication date: 9 February 2005

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2004.06.006

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zbMATH Keywords

GARCHComponent model in volatiltiyJump

Mathematics Subject Classification ID

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• ARCH models as diffusion approximations
• Option pricing when underlying stock returns are discontinuous

Cited In (1)

• Why has Taiwan been immune to the Asian financial crisis?

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