Empirical analysis of Taylor rule models for exchange rate determination by state space methods
Sergi, Andrea (A.A. 2019/2020) Empirical analysis of Taylor rule models for exchange rate determination by state space methods. Tesi di Laurea in Economia del mercato mobiliare, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 50. [Master's Degree Thesis]
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Abstract/Index
Models for exchange rate determination. Taylor rule based models for exchange rate determination. Methodology. Including ARCH effects in the model. Empirical Analysis. Exploratory data analysis: why GARCH disturbances? In sample estimation: evaluating model fit and diagnostic checking.
References
Bibliografia: pp. 45-46.
| Thesis Type: | Master's Degree Thesis |
|---|---|
| Institution: | Luiss Guido Carli |
| Degree Program: | Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56) |
| Chair: | Economia del mercato mobiliare |
| Thesis Supervisor: | Santucci de Magistris, Paolo |
| Thesis Co-Supervisor: | Grassi, Stefano |
| Academic Year: | 2019/2020 |
| Session: | Summer |
| Deposited by: | Alessandro Perfetti |
| Date Deposited: | 22 Jan 2021 10:49 |
| Last Modified: | 22 Jan 2021 10:49 |
| URI: | https://tesi.luiss.it/id/eprint/28164 |
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