Modeling spot rate using a realized stochastic volatility model with level effect and dynamic drift
Year of publication: |
April 2017
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Authors: | Li, Shaoyu ; Zheng, Tingguo |
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. 40.2017, p. 200-221
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Subject: | Realized volatility measures | Spot rate models | Market microstructure noise | Jump | Nonparametric specification tests | Volatilität | Volatility | Theorie | Theory | Marktmikrostruktur | Market microstructure | Nichtparametrisches Verfahren | Nonparametric statistics | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Monte Carlo simulation | Wechselkurs | Exchange rate | Modellierung | Scientific modelling |
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