Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates

Keyphrases

• Exchange Rate 100%
• Leptokurtosis 100%
• FIGARCH Model 100%
• Goodness-of-fit 50%
• Parameter Estimation 50%
• Kurtosis 50%
• Maximum Likelihood Estimation 50%
• Stochastic Volatility Process 50%
• ARFIMA 50%
• Volatility Shocks 50%

INIS

• accounting 100%
• exchange rate 100%
• volatility 100%
• stochastic processes 50%
• kurtosis 50%
• maximum-likelihood fit 50%

Economics, Econometrics and Finance

• Volatility 100%
• Exchange Rate 100%
• Kurtosis 50%