Structural breaks and GARCH models of exchange rate volatility

220 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

Volatility transmission between gold and oil futures under structural breaks (2013, unknown): “The modified ICSS 2 Interested readers are referred to Rapach and Strauss (2008) who provide a detailed description as they use this exact methodology to detect structural break points in the unconditional variance of exchange rates. algorithm is applied to the residual series (εt) obtained from…”
Modelling the volatility of the Dow Jones Islamic Market World Index using a fractionally integrated time-varying GARCH (FITVGARCH) model (2014, methodology): “The statistic is computed based on a recursively estimated out-of-sample forecasting experiment carried out on the last 500 observations (as in Rapach and Strauss 2008 and Rapach et al. 2008) for steps (day(s)): 1, 5, 10, 20, 30, 40, 60, 80, 100 and 120).”
Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models (2012, methodology): “Second, as we are interested in modeling and forecasting the unconditional variance of the returns series, we follow previous works and treat the unconditional and conditional mean of t as zero (Rapach and Strauss, 2008 and references therein).”