Structural breaks and GARCH models of exchange rate volatility
Year of publication: |
2008
|
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Authors: | Rapach, David E. ; Strauss, Jack |
Published in: |
Journal of applied econometrics. - Chichester : Wiley-Blackwell, ISSN 0883-7252, ZDB-ID 633941-4. - Vol. 23.2008, 1, p. 65-90
|
Subject: | Wechselkurs | Exchange rate | Volatilität | Volatility | ARCH-Modell | ARCH model | Strukturbruch | Structural break | US-Dollar | US dollar | Schätzung | Estimation | 1980-2005 |
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