Exchange rates volatility modelling

We investigate the empirical relevance of structural breaks in the unconditional variance of exchange rate returns for seven currency pairs vis-à-vis the US Dollar over the 2002 - 2018 period. We find evidence of structural breaks in the unconditional variance for five of the seven currencies under...

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Bibliographic Details
Main Author: Rodrigues, Hristiyan-Alekzandar Krastanov (author)
Format: masterThesis
Language:eng
Published: 2020
Subjects:
Volatility
Exchange rates
Forecasting
Returns
Garch
Volatilidade
Taxa de câmbio
Previsão
Retornos
Online Access:http://hdl.handle.net/10071/21127
Country:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/21127

Internet

http://hdl.handle.net/10071/21127

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