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Score-driven models of stochastic seasonality in location and scale: an application case study of the Indian rupee to USD exchange rate
Authors:Astrid Ayala
Institution:School of Business, Universidad Francisco Marroquín, Guatemala City, Guatemala
Abstract:
Keywords:Indian rupee to USD (INR/USD) exchange rate  dynamic conditional score (DCS) models  stochastic seasonality  seasonal volatility  robustness to extreme observations
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