Lin, Chuang-Yuang; Wu, Ruey-Shan; Chen, Tsai - In: Emerging Markets Finance and Trade 46 (2010) 1, pp. 34-41
This paper investigates the importance of return heterogeneity and volatility for the foreign exchange rate on the New Taiwan (NT) dollar in terms of the U. S. dollar. We describe the price behavior of the foreign exchange market through the Power GARCH (1,1) and EGARCH (1,1) models. The time...
