Modeling and forecasting exchange rate volatility in time-frequency domain
Year of publication: |
2016
|
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Authors: | Barunik, Jozef ; Krehlik, Tomas ; Vacha, Lukas |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 251.2016, 1 (16.5.), p. 329-340
|
Subject: | Realized GARCH | Wavelet decomposition | Jumps | Multi-period-ahead volatility forecasting | Volatilität | Volatility | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Theorie | Theory | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis |
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