Dynamic Relationship of Two Exchange Rate Market Returns' Volatility with an European Dollars Factor: Empirical Study of Japan and Korea's Exchange Rate Markets

@article{Horng2010DynamicRO,
  title={Dynamic Relationship of Two Exchange Rate Market Returns' Volatility with an European Dollars Factor: Empirical Study of Japan and Korea's Exchange Rate Markets},
  author={Wann-Jyi Horng},
  journal={JCIT},
  year={2010},
  volume={5},
  pages={148-155}
}
This paper uses the data of Japan’s and Korea’s exchange rates to discuss the model construction and their associations between Japan’s and Korea’s terms exchange rate markets. The empirical results show that the mutual affects of Japan’s and Korea’s exchange rate markets may construct in bivariate IGARCH (1, 1) model with a DCC. The empirical result also… CONTINUE READING