A double-threshold GARCH model for the French Franc/Deutschmark exchange rate

Journal of Forecasting

Volumn 20, Issue 2, 2001, Pages 135-143

  Brooks, Chris ^a  

^a UNIVERSITY OF READING   (United Kingdom)

Author keywords

Exchange rates; GARCH; Non linear; Threshold models; Time series analysis

Indexed keywords

EID: 0035275684     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/1099-131X(200103)20:2<135::AID-FOR780>3.0.CO;2-R     Document Type: Article

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