Open AccessExchange Rate Volatility in the Covid-19 Period: An Analysis Using the Markov-Switching ARCH Model
Author(s) -
Havva Koç
Publication year - 2021
Publication title -
ekoist journal of econometrics and statistics
Language(s) - English
Resource type - Journals
ISSN - 2651-396X
DOI - 10.26650/ekoist.2021.35.1011709
Subject(s) - volatility (finance) , arch , autoregressive conditional heteroskedasticity , econometrics , forward volatility , volatility swap , economics , volatility smile , heteroscedasticity , implied volatility , stochastic volatility , volatility risk premium , financial economics , engineering , civil engineering