Forecasting risk in the US Dollar exchange rate under volatility shifts

Author:

Anjum Hassan,Malik Farooq

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference32 articles.

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2. The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR;Bali;Journal of Banking & Finance,2008

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4. Value-at-risk: A multivariate switching regime approach;Billio;Journal of Empirical Finance,2000

5. Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances;Bollerslev;Econometric Reviews,1992

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