Exchange rate risk and sectoral returns: A wavelet-based MRA-EDCC GARCH analysis
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Publication:6587719
DOI10.1080/03610926.2020.1772304MaRDI QIDQ6587719
[[Person:6587718|Author name not available (Why is that?)]], [[Person:6587716|Author name not available (Why is that?)]], Fiza Qureshi, [[Person:6587715|Author name not available (Why is that?)]], Ijaz Ur Rehman, [[Person:6587717|Author name not available (Why is that?)]]
Publication date: 14 August 2024
Published in: Communications in Statistics. Theory and Methods (Search for Journal in Brave)
Cites Work
- An impulse-response function for a vector autoregression with multivariate GARCH-in-mean
- A Lagrange multiplier test for causality in variance
- Econometric Issues in the Analysis of Regressions with Generated Regressors
- A theory for multiresolution signal decomposition: the wavelet representation
- Testing for volatility interactions in the Constant Conditional Correlation GARCH model
- AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
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