Arbitrage behaviour in the exchange rates of Taiwan and Japan: applying the smooth transition vector error correction model with GJR-GARCH and spillover volatility

Author： Lee Yen-Hsien   Chiu Chien-Liang  

Publisher： Routledge Ltd

ISSN： 1466-4283

Source： Applied Economics, Vol.43, Iss.15, 2011-06, pp. : 1935-1943

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