Evaluating volatility dynamics and the f
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George S. Parikakis; Anna Merika
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Article
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2009
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John Wiley and Sons
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English
β 86 KB
π 1 views
## Abstract This paper uses Markov switching models to capture volatility dynamics in exchange rates and to evaluate their forecasting ability. We identify that increased volatilities in four euroβbased exchange rates are due to underlying structural changes. Also, we find that currencies are close