Multivariate periodic stochastic volatility models : applications to Algerian dinar exchange rates and oil prices modeling
Nadia Boussaha, Faycal Hamdi, Saïd Souam
| Year of publication: |
[2018]
|
|---|---|
| Authors: | Boussaha, Nadia ; Hamdi, Faycal ; Souam, Saïd |
| Publisher: |
Nanterre : EconomiX - UMR7235, Université Paris Nanterre |
| Subject: | Multivariate periodic stochastic volatility | periodic stationarity | periodic Kalman filter | particle filtering | exchange rates | Saharan Blend oil | Wechselkurs | Exchange rate | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Zustandsraummodell | State space model | Ölpreis | Oil price | Theorie | Theory | ARCH-Modell | ARCH model | Schätzung | Estimation | Multivariate Analyse | Multivariate analysis | US-Dollar | US dollar |
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