Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
type: Item
instance of: scholarly article
title: Estimating high-frequency foreign exchange rate volatility with nonparametric ARCH models
zbMATH Open document ID: 0937.62106
DOI: 10.1016/S0378-3758(97)00144-4
author: Christian M. Hafner
published in: Journal of Statistical Planning and Inference
publication date: 2000-06-14T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62G07
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 1327289
zbMATH Keywords: ARCH
zbMATH Keywords: conditional variances
zbMATH Keywords: EGARCH
zbMATH Keywords: volatility
describes a project that uses: S-PLUS
describes a project that uses: R
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 1327289