This paper studies the empirical performance of stochastic volatility models for twenty years of weekly exchange rate data for four major currencies. We concentrate on the eects of the distribution of the exchange rate innovations for both parameter estimates and for estimates of the latent volatili
An application of three bivariate time-varying volatility models
β Scribed by I. D. Vrontos; S. G. Giakoumatos; P. Dellaportas; D. N. Politis
- Publisher
- John Wiley and Sons
- Year
- 2001
- Tongue
- English
- Weight
- 444 KB
- Volume
- 17
- Category
- Article
- ISSN
- 1524-1904
- DOI
- 10.1002/asmb.431
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