Forecasting exchange rate volatility.
type: Item
instance of: scholarly article
title: Forecasting exchange rate volatility.
zbMATH Open document ID: 1100.91524
DOI: 10.1016/S0165-1765(02)00036-8
author: Jon Vilasuso
published in: Economics Letters
publication date: 2002-07-15T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 62P20
zbMATH DE Number: 1768033
zbMATH Keywords: Long memory
zbMATH Keywords: Fractional integration
MaRDI profile type: Publication
cites work: Fractionally integrated generalized autoregressive conditional heteroskedasticity
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cites work: Modelling the persistence of conditional variances
cites work: A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
full work available at URL: s0165-1765(02)00036-8
OpenAlex ID: W2094808838
description: scientific article; zbMATH DE number 1768033