An empirical note about estimation and forecasting Latin American Forex returns volatility : the role of long memory and random level shifts components
Gabriel Rodríguez, Junior A. Ojeda Cunya, José Carlos Gonzáles Tanaka
| Year of publication: |
2019
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|---|---|
| Authors: | Rodriguez, Gabriel ; Ojeda Cunya, Junior Alex ; Gonzáles Tanaka, José Carlos |
| Published in: |
Portuguese economic journal. - Berlin : Springer, ISSN 1617-982X, ZDB-ID 2083329-5. - Vol. 18.2019, 2, p. 107-123
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| Subject: | ARFIMA models | FIGARCH model | GARCH model | Latin American Forex Markets | Long memory | Mean reversion | Random Level Shifts | Time Varying Probability | Volatility | Volatilität | ARCH-Modell | ARCH model | Lateinamerika | Latin America | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | ARMA-Modell | ARMA model | Kapitaleinkommen | Capital income | Devisenmarkt | Foreign exchange market | Aktienmarkt | Stock market | Schätzung | Estimation | Mean Reversion | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10258-019-00156-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012111301