Volatility of stock market and exchange rate returns in Peru : long memory or short memory with level shifts?
Year of publication: |
2016
|
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Authors: | Herrera Aramburú, Andrés ; Rodriguez, Gabriel |
Published in: |
International journal of monetary economics and finance. - Genève [u.a.] : Inderscience Enterprises, ISSN 1752-0479, ZDB-ID 2476010-9. - Vol. 9.2016, 1, p. 45-66
|
Subject: | structural change | jumps | long memory processes | fractional integration | frequency domain estimates | RLS | random level shifts | stock markets | Forex rate volatility in Peru | Volatilität | Volatility | Peru | Wechselkurs | Exchange rate | Aktienmarkt | Stock market | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Schätztheorie | Estimation theory | Kapitalmarktrendite | Capital market returns | Kapitaleinkommen | Capital income |
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