Modeling and forecasting exchange rate volatility in time-frequency domain
Jozef Barunik, Tomas Krehlik, Lukas Vacha
| Year of publication: |
2016
|
|---|---|
| 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 | ARCH-Modell | ARCH model | Volatilität | Volatility | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Theorie | Theory | Zustandsraummodell | State space model | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.12.010 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011446589