Modeling of Currency Covolatilities
The paper deals with dynamic modeling of currency portfolios. In contrast to univariate models of exchange rates and their returns one applies multivariate time series models of the type GARCH that are capable of capturing not only conditional heteroscedasticities (i.e. volatilities) but also condit...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Czech Statistical Office
2019-09-01
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| Series: | Statistika: Statistics and Economy Journal |
| Subjects: | |
| Online Access: | https://www.czso.cz/documents/10180/88506454/32019719q3_259_cipra_analyses.pdf/57582a58-de3c-49a1-b026-0182d1934738?version=1.0 |