Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters : the importance of scheduled and unscheduled news announcements
Year of publication: |
2014
|
---|---|
Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Yoon, Seong-min |
Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 30.2014, p. 101-119
|
Subject: | Dual long memory | Structural breaks | News announcements | ARFIMA-FIGARCH model | Out-of-sample forecasts | Strukturbruch | Structural break | Volatilität | Volatility | Ankündigungseffekt | Announcement effect | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Devisenmarkt | Foreign exchange market | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Prognose | Forecast |
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