On the empirical importance of periodicity in the volatility of financial time series
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References listed on IDEAS
- Susmel, Raul, 2000. "Switching Volatility in Private International Equity Markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 5(4), pages 265-283, October.
- Osiewalski, Jacek & Pipien, Mateusz, 2004. "Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland," Journal of Econometrics, Elsevier, vol. 123(2), pages 371-391, December.
- Ming-Yuan Leon Li & Hsiou-wei William Lin, 2004. "Estimating value-at-risk via Markov switching ARCH models - an empirical study on stock index returns," Applied Economics Letters, Taylor & Francis Journals, vol. 11(11), pages 679-691.
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- Bouoiyour, Jamal & Selmi, Refk, 2014. "Exchange Uncertainty and Export Performance in Egypt: New Insights from Wavelet Decomposition and Optimal GARCH Model," MPRA Paper 59568, University Library of Munich, Germany, revised 2014.
More about this item
KeywordsPeriodically correlated stochastic processes; GARCH models; Bayesian inference; volatility; unconditional variance;
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2012-10-27 (All new papers)
- NEP-ECM-2012-10-27 (Econometrics)
- NEP-ETS-2012-10-27 (Econometric Time Series)
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