Empirical modeling of exchange rate dynamics

zbMath0648.90002MaRDI QIDQ1210809

Francis X. Diebold

Publication date: 5 June 1993

Published in: Lecture Notes in Economics and Mathematical Systems (Search for Journal in Brave)

zbMATH Keywords

hypothesis testingmaximum likelihood estimatescentral limit theoremsEstimationtemporal aggregationautoregressive conditional heteroskedasticityexchange rate modelingnonstructural time series methodsparametrization of this heteroskedasticityrandom walks with drifts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09) Economic time series analysis (91B84) Sums of independent random variables; random walks (60G50) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Non-Markovian processes: hypothesis testing (62M07)

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