An application of a random level shifts model to the volatility of Peruvian stock and exchange rate returns
Year of publication: |
March-November 2016
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Authors: | Ojeda Cunya, Junior Alex ; Rodriguez, Gabriel |
Published in: |
Macroeconomics and finance in emerging market economies. - London [u.a.] : Routledge, ISSN 1752-0843, ZDB-ID 2425758-8. - Vol. 9.2016, 1/3, p. 34-55
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Subject: | returns | volatility | long memory | random level shifts model | Kalman filter | ARFIMA models | GARCH models | CGARCH models | forecasting | Volatilität | Volatility | ARCH-Modell | ARCH model | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | Theorie | Theory | Zustandsraummodell | State space model | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | ARMA-Modell | ARMA model |
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