Zongwu, Cai; Linna, Chen; Ying, Fang - In: Studies in Nonlinear Dynamics & Econometrics 16 (2012) 3, pp. 1-20
This paper models the return series of USD/CNY exchange rate by considering the conditional mean and conditional volatility simultaneously. An index type functional-coefficient model is adopted to model the conditional mean part and a GARCH type model with a policy dummy variable is applied to...