Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates
Year of publication: |
2020
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Authors: | Yi, Chae-Deug |
Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 53.2020, p. 1-12
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Subject: | Daily and Intraday Jump Statistic | Euro | Gumbel Distribution | Max Outlyingness | Periodicity Filter | Volatility | Volatilität | Wechselkurs | Exchange rate | US-Dollar | US dollar | Zeitreihenanalyse | Time series analysis | ARCH-Modell | ARCH model |
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