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~institution:"Bank of Greece"
~institution:"Departament d'Economia i Història Econòmica, Universitat Autònoma de Barcelona"
~subject:"One (Two) Factor Volatility Logarithmic Model"
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One (Two) Factor Volatility Logarithmic Model
Reprojection
2
Efficient Method of Moments
1
Efficient Method of Moments (EMM)
1
Exchange-rate volatility
1
Factors of Volatility
1
Feedback
1
Fractional Integration
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Generalized method of moments
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Mean-Reversion
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Monetary policy
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New Keynesian model
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Panel
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Persistent Volatility
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Projection
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Random-coefficient estimation
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Seminonparametric (SNP)
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Trade
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Volatility Forecasting
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generalized method of moments
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regime-switching
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threshold models
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Veiga, Maria Helena Lopes Moreira da
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Bank of Greece
Departament d'Economia i Història Econòmica, Universitat Autònoma de Barcelona
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Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data.
Veiga, Maria Helena Lopes Moreira da
-
Departament d'Economia i Història Econòmica, …
-
2003
the sample. We use the Efficient
Method
of
Moments
(EMM) by Gallant and Tauchen (1996) to estimate logarithmic models with …
Persistent link: https://www.econbiz.de/10005823880
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