An outlier robust GARCH model and forecasting volatility of exchange rate returns

Journal of Forecasting

Volumn 21, Issue 5, 2002, Pages 381-393

  Park, Beum Jo ^a  

^a Dankook University   (South Korea)

Author keywords

Additive outliers; Exchange rate returns; Forecasting volatility; Least absolute deviation regression estimation; Robust GARCH model

Indexed keywords

ECONOMICS; FINANCE; MATHEMATICAL MODELS; MONTE CARLO METHODS; REGRESSION ANALYSIS;

EXCHANGE RATE RETURNS;

FORECASTING;

EID: 0036684420     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/for.827     Document Type: Article

References (22)

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