Modeling Latin-American stock and Forex markets volatility : empirical application of a model with random level shifts and genuine long memory
Gabriel Rodríguez
| Year of publication: |
November 2017
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| Authors: | Rodriguez, Gabriel |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 42.2017, p. 393-420
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| Subject: | Long memory | ARFIMA models | Random level shifts | Latin-American stock and Forex markets volatility | Density forecasts | Value-at-Risk | Volatilität | Volatility | ARCH-Modell | ARCH model | Devisenmarkt | Foreign exchange market | Zeitreihenanalyse | Time series analysis | Wechselkurs | Exchange rate | Aktienmarkt | Stock market | ARMA-Modell | ARMA model | Prognoseverfahren | Forecasting model | Lateinamerika | Latin America | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2017.07.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011938140