Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models : a comparison based on normal and Student's t-error distribution
Year of publication: |
2017
|
---|---|
Authors: | Abdullah, S. M. ; Siddiqua, Salina ; Siddiquee, Muhammad Shahadat Hossain ; Hossain, Nazmul |
Published in: |
Financial innovation : FIN. - Heidelberg : SpringerOpen, ISSN 2199-4730, ZDB-ID 2824759-0. - Vol. 3.2017, 18, p. 1-19
|
Subject: | Exchange rate | Volatility | ARCH | GARCH | Student’s t | Error distribution | Volatilität | Wechselkurs | ARCH-Modell | ARCH model | Bangladesch | Bangladesh | Statistische Verteilung | Statistical distribution | Schätzung | Estimation | Schätztheorie | Estimation theory | Studierende | Students |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.1186/s40854-017-0071-z [DOI] hdl:10419/176461 [Handle] |
Classification: | C52 - Model Evaluation and Testing ; c58 ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
Deschamps, Philippe J., (2012)
-
Abdullah, S. M., (2017)
-
Modelling returns in US housing prices : you're the one for me, fat tails
Kiss, Tamás, (2021)
- More ...
-
Abdullah, S. M., (2017)
-
Is health care a necessary or luxury product for Asian countries? An answer using panel approach
Abdullah, S. M., (2017)
-
Abdullah, S. M., (2018)
- More ...