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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| Formato: | masterThesis |
| Idioma: | eng |
| Publicado em: |
2020
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| Texto completo: | http://hdl.handle.net/10071/21127 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/21127 |