Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH
AbstractIn this paper we propose a friction model with a Beroulli jump diffusion and a friction with GARCH to examine the exchange rates movements in Taiwan. The proposed model resolves the estimation problem associated with the stepwise movements of observed exchange rates. The specification maintains the desirable economic properties associated with movements in exchange rate returns and is empirically tractable. The AIC apparently favors the model based on Friction-GARCH model.
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Bibliographic InfoPaper provided by Center for Policy Research, Maxwell School, Syracuse University in its series Center for Policy Research Working Papers with number 35.
Length: 22 pages
Date of creation: Feb 2001
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Find related papers by JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models &bull Diffusion Processes
- C31 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models; Quantile Regressions; Social Interaction Models
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