DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY

In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility of

MoreLess

Year of publication:	2009
Authors:	Ciprian, Necula ; Alina-Nicoleta, Radu
Published in:	Annals of Faculty of Economics. - Facultatea de Ştiinţe Economice. - Vol. 3.2009, 1, p. 610-615
Publisher:	Facultatea de Ştiinţe Economice
Subject:	conditional heteroskedasticity \| regime switch \| exchange rates \| long memory

More details

Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C01 - Econometrics ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C51 - Model Construction and Estimation ; C87 - Econometric Software ; E44 - Financial Markets and the Macroeconomy ; E47 - Forecasting and Simulation
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008511999