An assessment of empirical model performance when financial market transactions are observed at different data frequencies : an application to East Asian exchange rates
Kai-Li Wang; Chris Fawson; Christopher B. Barrett
| Year of publication: |
2002
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|---|---|
| Authors: | Wang, Kai-Li ; Fawson, Christopher ; Barrett, Christopher B. |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 19.2002, 2, p. 111-129
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| Subject: | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Schätzung | Estimation | Ostasien | East Asia |