Chang, Jow-Ran; Hung, Mao-Wei; Lee, Cheng-Few; Lu, Hsin-Min - In: Review of Pacific Basin Financial Markets and Policies … 10 (2007) 02, pp. 265-288
We use square root stochastic volatility with or without jump model to study the heteroskedasticity and jump behavior of the Thai Baht. Bayesian factor is used to evaluate the explanatory power of competing model. It turns out that the square root stochastic volatility model with independent...