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Learning, forecasting and structural breaks (replication data)
We provide a general methodology for forecasting in the presence of structural breaks induced by unpredictable changes to model parameters. Bayesian methods of learning and... -
Structural breaks and GARCH models of exchange rate volatility (replication d...
We investigate the empirical relevance of structural breaks for GARCH models of exchange rate volatility using both in-sample and out-of-sample tests. We find significant...
