Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance
Chae-Deug Yi
| Year of publication: |
2023
|
|---|---|
| Authors: | Yi, Chae-Deug |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 55.2023, 1, p. 1-7
|
| Subject: | Average truncated power variation | Exchange rate | Jump | Periodicity filter | Volatility | Theorie | Theory | Volatilität | Wechselkurs | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2023.103821 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014472978