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Empirical Modeling of Exchange Rate Dynamics · Study

BookEmpirical Modeling of Exchange Rate Dynamics

Francis X. Diebold1988

Book1988

Empirical Modeling of Exchange Rate Dynamics

Francis X. Diebold

287 citations·0/0 files stored·Lecture notes in economics and mathematical systems

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Market Dynamics and Volatility

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1993Modeling asset returns with alternative stable distributions 1992Prediction in dynamic models with time-dependent conditional variances 2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets 1990The tail index of exchange rate returns 1993The Message in Weekly Exchange Rates in the European Monetary System: Mean Reversion, Conditional Heteroscedasticity, and Jumps 2009Practical Issues in the Analysis of Univariate GARCH Models 2005A Practical Guide to Forecasting Financial Market Volatility 2005Bootstrap prediction for returns and volatilities in GARCH models

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Year1988

Typebook

Published1988-01-01

VenueLecture notes in economics and mathematical systems

ISSN-L0075-8442

Languageen

Citations287

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/978-3-642-45641-1

openalex_workW1502286138

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