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文章基本信息

  • 标题:Testing of Purchasing Power Parity Theory Using the Doubly Truncated ARMA-GARCH Model and MCMC Algorithms
  • 本地全文:下载
  • 作者:Suduk Kim ; Chyong Ling Chen ; Hiroki Tsurumi
  • 期刊名称:Journal of Economic Research
  • 印刷版ISSN:1226-4261
  • 出版年度:2003
  • 卷号:8
  • 期号:2
  • 出版社:Hanyang Economic Research Institute
  • 摘要:Using a Markov Chain Monte Carlo algorithm, we show that the exchange rates of the Baht and of the Won are explained by the purchasing power parity theory when we incorporate the facts that these currencies were doubly truncated.
  • 关键词:Doubly truncated regression model; Markov Chain Monte Carlo algorithms; Highest posterior density interval; Purchasing power parity
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