A semiparametric GARCH model for foreign exchange volatility
Year of publication: |
2006
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Authors: | Yang, Lijian |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 130.2006, 2, p. 365-384
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Subject: | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Volatilität | Volatility | Nichtparametrisches Verfahren | Nonparametric statistics | Schätztheorie | Estimation theory | USA | United States | Großbritannien | United Kingdom | Deutschland | Germany | 1980-1992 |
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