Modelling exchange rate volatility with random level shifts
Ye Li, Pierre Perron and Jiawen Xu
| Year of publication: |
May-June 2017
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|---|---|
| Authors: | Li, Ye ; Perron, Pierre ; Xu, Jiawen |
| Published in: |
Applied economics. - Abingdon : Routledge, ISSN 0003-6846, ZDB-ID 280176-0. - Vol. 49.2017, 26, p. 2579-2589
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| Subject: | Random level shifts | long-memory | forecasting | volatility | Volatilität | Volatility | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/00036846.2016.1243214 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011819611