A proposal for a new specification for a conditionally heteroskedastic variance model: the Quadratic Moving-Average Conditional Heteroskedasticity and an application to the D. Mark-U.S. dollar Exchange Rate
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Cited by:
- Odunayo Magret Olarewaju & Timilehin John Olasehinde, 2017. "Naira-Dollar Exchange Rate Volatility Modeling Using Quadratic Moving Average Conditional Heteroscedasticity (QMACH)," EuroEconomica, Danubius University of Galati, issue 2(36), pages 106-116, November.
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More about this item
Keywords
Conditionally heteroskedastic models; Quadratic Moving Average Conditionally heteroskedasticity model; Homoskedasticity tests; Volatility; Truncated Volterra developments.;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
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2002-06-18 (Econometrics)
- NEP-ETS-2002-06-18 (Econometric Time Series)
- NEP-IFN-2002-06-18 (International Finance)
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