An empirical note about estimation and forecasting Latin American Forex returns volatility: the role of long memory and random level shifts components |
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| Authors: | Rodríguez Gabriel Ojeda Cunya Junior A. Gonzáles Tanaka José Carlos |
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| Affiliation: | 1.Department of Economics, Pontificia Universidad Católica del Perú, Av. Universitaria 1801, Lima 32, Lima, Perú
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| Abstract: | Portuguese Economic Journal - A set of RLS-type models with ARMA and ARFIMA dynamics is estimated and compared in a forecasting exercise with ARFIMA, GARCH and FIGARCH models. It is an extension of... |
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