Search

Your search keyword '"Lee, Jinsoo"' showing total 1 results
Start Over Author "Lee, Jinsoo" Region united states
1 results on '"Lee, Jinsoo"'

1. Change in Volatility in the Won/U.S. Dollar Daily Exchange Rate:Stochastic Volatility Model.

Author

Lee, Jinsoo

Subjects
MARKET volatility, ECONOMIC change, U.S. dollar, FOREIGN exchange rates, FINANCIAL crises, STOCHASTIC models
Abstract

This study estimates the changes in volatility of the won/U.S. dollar dailyexchange rates before and after the Korean currency crisis, using the stochastic volatility model with the ARMAregression error term. We find that the persistence of volatility increased after the Koreancurrency crisis. [ABSTRACT FROM AUTHOR]

Published
2000
Full Text
View/download PDF

Catalog

Books, media, physical & digital resources
See catalog results