What is the most appropriate model for generating scenarios for daily foreign exchange rates?
Year of publication: |
2005-06
|
---|---|
Authors: | Parker, John C. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | ARIMA models | Exchange Rates | GARCH models | Risk Management | Scenarios | Time series | Vector Autoregression Models | Volatility forecasting |
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