Forecasting exchange rate volatility using conditional variance models selected by information criteria
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- West, K.D. & Cho, D., 1993.
"The Predictive Ability of Several Models of Exchange Rate Volatility,"
9317, Wisconsin Madison - Social Systems.
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- Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
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