Hidden Markov model analysis of extreme behaviors of foreign exchange rates
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DOI: 10.1016/j.physa.2018.07.060
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Cited by:
- Zhao, Jun, 2019. "Nonstationary response of a nonlinear economic cycle model under random disturbance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 409-421.
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More about this item
Keywords
Hidden Markov model; Generalized Pareto distribution; Extreme behavior; Foreign exchange rate;All these keywords.
JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- F31 - International Economics - - International Finance - - - Foreign Exchange
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