Endogenous volatility in the foreign exchange market
Leonardo Bargigli and Giulio Cifarelli
| Year of publication: |
2024
|
|---|---|
| Authors: | Bargigli, Leonardo ; Cifarelli, Giulio |
| Subject: | foreign exchange market | GARCH | heteroscedasticity | high-frequency data | Markov switching | SVAR | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Markov-Kette | Markov chain | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Schätzung | Estimation | VAR-Modell | VAR model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory | Heteroskedastizität | Heteroscedasticity |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/jjfinec/nbad008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015338752