Uncertainty and Volatility Jumps in the Pound-Dollar Exchange Rate: Evidence from Over One Century of Data
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KeywordsExchange Rates; Volatility Jumps; Uncertainty;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ETS-2018-08-13 (Econometric Time Series)
- NEP-HIS-2018-08-13 (Business, Economic & Financial History)
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