Nonlinearities in Exchange rates: Double EGARCH Threshold Models for Forecasting Volatility
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References listed on IDEAS
- Lumsdaine, Robin L. & Ng, Serena, 1999.
"Testing for ARCH in the presence of a possibly misspecified conditional mean,"
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- Burns, Kelly & Moosa, Imad A., 2015. "Enhancing the forecasting power of exchange rate models by introducing nonlinearity: Does it work?," Economic Modelling, Elsevier, vol. 50(C), pages 27-39.
More about this item
Keywordsnon linearity; forecasting volatility; exchange rates;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-05-10 (All new papers)
- NEP-ECM-2008-05-10 (Econometrics)
- NEP-ETS-2008-05-10 (Econometric Time Series)
- NEP-FOR-2008-05-10 (Forecasting)
- NEP-IFN-2008-05-10 (International Finance)
- NEP-ORE-2008-05-10 (Operations Research)
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