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ARCH model
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Asse pricing
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Autoregressiewe-gedeeltelike-geintegreerde-bewegende-gemiddelde modelle
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The relationship between the forward– and the realized spot exchange rate in South Africa / Petrus Marthinus Stephanus van Heerden
Van Heerden, Petrus Marthinus Stephanus
-
2010
The inability to effectively hedge against unfavourable exchange rate movements, using thecurrent forward exchange rate as the only guideline, is a key inhibiting factor of internationaltrade. Market participants use the current forward exchange rate quoted in the market to makedecisions...
Persistent link: https://www.econbiz.de/10009455974
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2
Common Persistence in Conditional Variances
Bollerslev, Tim
;
Engle, Robert F.
-
1994
Since the introduction of the autoregressive conditional heteroskedastic (
ARCH
)
model
in Engle (1982), numerous …
Persistent link: https://www.econbiz.de/10009475524
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