Stochastic volatility models for exchange rates and their estimation using quasi-maximum-likelihood methods: an application to the South African Rand

DOI10.1080/02664763.2012.740791MaRDI QIDQ5128932zbMATH OpenOpenAlexFDO

Authors

Publication date 26 October 2020

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02664763.2012.740791

zbMATH Keywords

adaptive filteringexchange ratesKalman filterquasi-maximum-likelihood estimationstochastic volatility

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

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Cited in

(3)

• Change in volatility in the won/U.S. Dollar daily exchange rate: Stochastic volatility model
• Stochastic modeling of currency exchange rates with novel validation techniques
• scientific article; zbMATH DE number 7107673 (Why is no real title available?)

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