Modeling exchange rate volatility : application of the GARCH and EGARCH models
Year of publication: |
February 2017
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Authors: | Epaphra, Manamba |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 7.2017, 1, p. 121-143
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Subject: | Exchange Rate Volatility | Heteroscedasticity | Leverage Effect | GARCH Models | Volatilität | Volatility | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Heteroskedastizität | Zeitreihenanalyse | Time series analysis |
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