Nonparametric Time Series Analysis of the Conditional Mean and Volatility Functions for the COP/USD Exchange Rate Returns Análisis de series de tiempo no paramétrico de las funciones de media y varianza condicional de los retornos de la tasa de cambio COP/USD
The modeling and estimation of the conditional volatility associated with a stochastic process usually have been based on parametric ARCH-type and stochastic volatility models. These time series models are very powerful in representing the dynamic stochastic properties of the data generating process...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Universidad Nacional de Colombia
2010-01-01
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| Series: | Revista Colombiana de Estadística |
| Subjects: | |
| Online Access: | http://www.scielo.org.co/scielo.php?script=sci_arttext&pid=S0120-17512010000100003 |