ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models-Reference-Cited by-同舟云学术

ARCH Models and an Application on Exchange Rate Volatility: ARCH and GARCH Models

Published:2021 Issue: Volume: Page:287-300
ISSN:
Container-title:Handbook of Research on Emerging Theories, Models, and Applications of Financial Econometrics
language:
Short-container-title:

Author:

Kantar Lokman

Publisher

Springer International Publishing

Link

https://link.springer.com/content/pdf/10.1007/978-3-030-54108-8_12

Reference21 articles.

1. Altuntaş Taşpunar S, Çolak Deniz F (2015) Bist-100 Endeksine Volatilitenin Modellenmesi ve Öngörülmesinde ARCH Modelleri. İstanbul Üniversitesi İşletme Fakültesi İşletme İktisadı Enstitüsü Yönetim Dergisi 26(79):208–223

2. Beine M, Laurent S, Lecourt C (2003) Official central Bank interventions and exchange rate volatility: evidence from a regime-switching analysis. Eur Econ Rev 47:891–911

3. Bollerslev T (1987) A conditionally Heteroskedastic time series model for speculative prices and rates of return. Rev Econ Stat 69:542–547

4. Brooks C. (2008). Introductory econometrics for finance. Second Edition

5. Çağlayan E, Dayıoğlu T (2009) Döviz Kuru Getiri Volatilitesinin Koşullu Değişen Varyans Modelleri ile Öngörüsü. İstanbul Üniversitesi İktisat Fakültesi Ekonometri ve İstatistik Dergisi 9:1–16

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Investigation of the Time Pattern of Bit Green Crypto;Algorithmic Approaches to Financial Technology;2024-04-19

2. Modeling Exchange Rate Volatility of ASEAN Member Countries;International Journal of Applied Mathematics, Computational Science and Systems Engineering;2023-07-12

3. Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis;Computational Economics;2022-11-03