Empirical modelling of the DEM/USD and DEM/JPY foreign exchange rate: Structural shifts in GARCH-models and their implications

DOI10.1002/asmb.451zbMath1008.62103OpenAlexW2076096205MaRDI QIDQ4781081

Helmut Herwartz, Hans-Eggert Reimers

Publication date: 21 November 2002

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/asmb.451

zbMATH Keywords

change-point estimationIGARCHforeign exchange market volatilities

Mathematics Subject Classification ID

Related Items (1)

Bicluster Analysis of Currency Exchange Rates

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