Forecasting RMB exchange rate volatility : do time-varying higher moments and time-varying risk aversion help?
Year of publication: |
2024
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Authors: | Wu, Xinyu ; Mei, Xueting ; Liu, Li |
Published in: |
Applied economics letters. - New York, NY : Routledge, ISSN 1466-4291, ZDB-ID 1484783-8. - Vol. 31.2024, 8, p. 757-767
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Subject: | leverage effect | RMB exchange rate volatility | TGARCH-MIDAS-SK model | time-varying higher moments | time-varying risk aversion | Volatilität | Volatility | Wechselkurs | Exchange rate | Risikoaversion | Risk aversion | Theorie | Theory | ARCH-Modell | ARCH model | Renminbi | Schätzung | Estimation |
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