Bayesian Estimation of ARMA-GARCH Model of Weekly Foreign Exchange Rates
β Scribed by Teruo Nakatsuma; Hiroki Tsurumi
- Book ID
- 110285426
- Publisher
- Springer
- Year
- 1999
- Tongue
- English
- Weight
- 76 KB
- Volume
- 6
- Category
- Article
- ISSN
- 1573-6946
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π SIMILAR VOLUMES
## Abstract We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both inβsample and outβofβsample tests. We find significant evidence of structural breaks in the unconditional variance of seven of eight US dollar exchange rate return series
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