DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY
In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility of
| Main Authors: | , |
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| Format: | Article |
| Language: | deu |
| Published: |
University of Oradea
2009-05-01
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| Series: | Annals of the University of Oradea: Economic Science |
| Subjects: | |
| Online Access: | http://steconomice.uoradea.ro/anale/volume/2009/v3-finances-banks-and-accountancy/103.pdf |
| _version_ | 1818677221197348864 |
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| author | Radu Alina-Nicoleta Necula Ciprian |
| author_facet | Radu Alina-Nicoleta Necula Ciprian |
| author_sort | Radu Alina-Nicoleta |
| collection | DOAJ |
| description | In the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility of |
| first_indexed | 2024-12-17T08:55:55Z |
| format | Article |
| id | doaj.art-64f393aaaa84409dbafa6a2ce578eabd |
| institution | Directory Open Access Journal |
| issn | 1222-569X 1582-5450 |
| language | deu |
| last_indexed | 2024-12-17T08:55:55Z |
| publishDate | 2009-05-01 |
| publisher | University of Oradea |
| record_format | Article |
| series | Annals of the University of Oradea: Economic Science |
| spelling | doaj.art-64f393aaaa84409dbafa6a2ce578eabd2022-12-21T21:55:58ZdeuUniversity of OradeaAnnals of the University of Oradea: Economic Science1222-569X1582-54502009-05-0131610615DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITYRadu Alina-NicoletaNecula CiprianIn the present study we develop and implement a short term exchange rate forecasting methodology using dynamic confidence intervals based on GARCH processes and we analyze whether this methodology can be used to model a regime switch in the volatility ofhttp://steconomice.uoradea.ro/anale/volume/2009/v3-finances-banks-and-accountancy/103.pdfconditional heteroskedasticity, regime switch, exchange rates, long memory |
| spellingShingle | Radu Alina-Nicoleta Necula Ciprian DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY Annals of the University of Oradea: Economic Science conditional heteroskedasticity, regime switch, exchange rates, long memory |
| title | DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY |
| title_full | DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY |
| title_fullStr | DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY |
| title_full_unstemmed | DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY |
| title_short | DETECTING REGIME SWITCHES IN THE EUR/RON EXCHANGE RATE VOLATILITY |
| title_sort | detecting regime switches in the eur ron exchange rate volatility |
| topic | conditional heteroskedasticity, regime switch, exchange rates, long memory |
| url | http://steconomice.uoradea.ro/anale/volume/2009/v3-finances-banks-and-accountancy/103.pdf |
| work_keys_str_mv | AT radualinanicoleta detectingregimeswitchesintheeurronexchangeratevolatility AT neculaciprian detectingregimeswitchesintheeurronexchangeratevolatility |