The Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic approach to investigating the foreign exchange forward premium volatility
Nessrine Hamzaoui, Boutheina Regaieg
| Year of publication: |
2016
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|---|---|
| Authors: | Hamzaoui, Nessrine ; Regaieg, Boutheina |
| Published in: |
International journal of economics and financial issues : IJEFI. - Mersin : EconJournals, ISSN 2146-4138, ZDB-ID 2632572-X. - Vol. 6.2016, 4, p. 1608-1615
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| Subject: | Conditional Volatility | Glosten-Jagannathan-Runkle-Generalized Autoregressive Conditional Heteroscedastic | Generalized Autoregressive Conditional Heteroscedasticity | Volatility Persistence | Volatilität | Volatility | ARCH-Modell | ARCH model | Wechselkurs | Exchange rate | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Währungsderivat | Currency derivative | Großbritannien | United Kingdom | Heteroskedastizität | Heteroscedasticity | Aktienindex | Stock index |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011775273