Many asset prices, including exchange rates, exhibit periods of stability punctuated by infrequent, substantial, often one-sided adjustments. Statistically, this generates empirical distributions of exchange rate changes that exhibit high peaks, long tails, and skewness. This paper introduces a...

This paper takes a new empirical look at the longstanding question of the effect of exchange rate volatility on international trade flows by studying the case of Taiwan's exports to the United States from 1989-1998. In particular, we employ sectoral level, monthly data and a multivariate GARCH-M...

This research employs VAR models, impulse response function, forecast error variance decomposition and bivariate GJR GARCH models, to explore the dynamic relationship between foreign investment and the MSCI Taiwan Index (MSCI–TWI). The estimations of the VAR, impulse-response functions and...

This paper investigates the investment preference of foreign institutional investors across different industries in Taiwanese stock market. By employing the idea of Fama and French (1992) three-factor model with investment strategy, the investment preference is a function of beta value, company...

This paper compares the performance of alternative models of east Asian exchange rates at different data frequencies. Selected models employ different specifications of the conditional variance and the conditional error distribution. Conditional variance specifications include: homoscedasticity,...

Using an innovative GMGARCH-MSKST model that allows for asymmetric generalized dynamic conditional correlation, this paper analyzes return and volatility interactions among spot, non-deliverable forward (NDF) and deliverable forward (DF) exchange rate markets for Korea and Taiwan. With the...

This study attempts to explain the anomaly that firms with high-default risk earn low average realized returns. We measure default risk according to Ohlson's (1980) O-score and Campbell, Hilscher, and Szilagyi's (2008) failure probability and further implement Duffie, Saita, and Wang's (2007)...