Improving Garch Volatility Forecasts
Year of publication: |
1998
|
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Authors: | Klaassen, F.J.G.M. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | GARCH | regime-switching | volatility | forecasting | exchange rates |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series CentER Discussion Paper Number 1998-52 |
Classification: | C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; F31 - Foreign Exchange |
Source: |
-
Improving GARCH volatility forecasts with regime-switching GARCH
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Long Swings in Exchange Rates : Are They Really in the Data?
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