Structural breaks and GARCH models of exchange rate volatility
Tóm tắt
Từ khóa
Tài liệu tham khảo
ClarkP TamirisaN WeiS‐JwithSadikovA ZengL.2004.A new look at exchange rate volatility and trade flows. International Monetary Fund Occasional Paper No. 235.
ClarkTE McCrackenMW.2004.Improving forecast accuracy by combining recursive and rolling forecasts. Federal Reserve Bank of Kansas City Research Working Paper 04‐10.
de PooterM van DijkD.2004.Testing for changes in volatility in heteroskedastic time series: a further examination. Econometric Institute Research Report 2004‐38/A Erasmus School of Economics Rotterdam.
Marcucci J, 2005, Forecasting stock market volatility with regime‐switching GARCH models, Studies in Nonlinear Dynamics and Econometrics, 9
McCrackenMW.2004.Asymptotics for out of sample tests of Granger causality. Working paper University of Missouri at Columbia.
Mikosch T, 2003, Theory and Applications of Long Range Dependence, 439
PattonAJ.2006.Volatility forecast evaluation and comparison using imperfect volatility proxies. Working paper London School of Economics.
PerronP QuZ.2006.An analytical evaluation of the log‐periodogram estimate in the presence of level shifts and its implications for stock return volatility. Working paper Boston University.
RichG.1998.The Euro and Swiss monetary policy. Speech delivered to the Norwegian‐Swiss Euro Seminar on September 18 1998.
RichG.2003.Swiss monetary targeting 1994–1996: the role of internal policy analysis. European Central Bank Working paper no. 236.
RiskMetrics Group, 1996, RiskMetrics: Technical Document
Sansó A, 2004, Testing for change in the unconditional variance of financial time series, Revista de Economiá Financiera, 4, 32
StǎricǎC.2003.Is GARCH(1 1) as good a model as the Nobel accolades would imply?Working paper Chalmers University of Technology Göteborg.
StǎricǎC HerzelS NordT.2005.Why does the GARCH(1 1) model fail to provide sensible longer‐horizon volatility forecasts?Working paper Chalmers University of Technology Göteborg.
Straumann D, 2005, Lecture Notes in Statistics: Estimation in Conditionally Heteroskedastic Time Series Models