Normal Mixture GARCH (1,1): Application to Exchange Rate Modelling
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KeywordsVolatility regimes; conditional exess kurtosis; normal mixture; heavy trails; exchange rates; conditional hetroscedasticity; GARCH models.;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
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