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Greek sovereign bond index, volatility, and structural breaks

✍ Scribed by Go Tamakoshi, Shigeyuki Hamori


Book ID
120955733
Publisher
Springer US
Year
2013
Tongue
English
Weight
219 KB
Volume
38
Category
Article
ISSN
1055-0925

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Structural breaks and GARCH models of ex
✍ David E. Rapach; Jack K. Strauss πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 360 KB

## Abstract We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in‐sample and out‐of‐sample tests. We find significant evidence of structural breaks in the unconditional variance of seven of eight US dollar exchange rate return series