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General-to-specific modelling of exchange rate volatility: A forecast evaluation · Study

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ArticleGeneral-to-specific modelling of exchange rate volatility: A forecast evaluation

Luc Bauwens2010

Article2010

General-to-specific modelling of exchange rate volatility: A forecast evaluation

Luc Bauwens · Genaro Sucarrat

26 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Monetary Policy and Economic Impact Forecasting Techniques and Applications

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1991Conditional Heteroskedasticity in Asset Returns: A New Approach 2016“Options, Futures, and Other Derivatives”2003Modeling and Forecasting Realized Volatility 2003Options, Futures and Other Derivatives 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances

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Year2010

Typearticle

Published2010-07-25

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations26

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.ijforecast.2010.07.001

openalex_workW2015442426

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