exchange rate volatility. Eventually, the model offers a solution to the exchange rate disconnection puzzle. …

This paper proposes an explanation of the shifts in the volatility of exchange rate returns that relies on standard … may lead agents to focus excessively on a subset of fundamental variables. As a result, exchange rate volatility is mainly … determined by the dynamics of this subset of fundamentals. As agents switch between models the nominal exchange rate volatility …

for Taiwan, comprising a high proportion of world tourist arrivals to Taiwan, are Japan and USA, which are sources of … Taiwan $ and Yen - New Taiwan $ exchange rates, and tourist arrivals from the world, USA and Japan to Taiwan, as well as … international tourist arrivals, daily data from 1 January 1990 to 31 December 2008 are used to model the world price and US$ - New …

of currencies. We relate daily changes in GARCH(1,1) volatilities of exchange rates to the volatility changes of several … markets for both assets. In the same vein, first differences of the gold price volatility, as an additional determinant, are …

for exogenous shock to market data. After the data fitting and VaR estimation, we conclude that the range-based volatility … regime switching into volatility process can boost the efficiency for VaR estimation. We also present an empirical … with non-regime switching volatility model, our model outperforms other alternatives on the estimation of volatility …