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Modeling and forecasting exchange rate volatility in time-frequency domain

Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - 2016

This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a … forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the … influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates …

Persistent link: https://www.econbiz.de/10011412440

Stock and currency market linkages : new evidence from realized spillovers in higher moments

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185

Persistent link: https://www.econbiz.de/10011625106

Jumps in equilibrium prices and asymmetric news in foreign exchange markets

El Ouadghiri, Imane; Uctum, Remzi - In: Economic modelling 54 (2016), pp. 218-234

Persistent link: https://www.econbiz.de/10011642112

Modeling exchange rate dynamics in Egypt : observed and unobserved volatility

Rofael, Dina; Hosni, Rana - In: Modern economy 6 (2015) 1, pp. 65-80

Persistent link: https://www.econbiz.de/10011285372

Modelling persistence in conditional volatility of asset returns

Pandey, Rajan; Kumar, Arya - In: Afro-Asian Journal of Finance and Accounting : AAJFA 7 (2017) 1, pp. 16-34

Persistent link: https://www.econbiz.de/10011748637

A geometric treatment of time-varying volatilities

Han, Chulwoo; Park, Frank C.; Kang, Jangkoo - In: Review of quantitative finance and accounting 49 (2017) 4, pp. 1121-1141

Persistent link: https://www.econbiz.de/10011797596

Modeling Latin-American stock and Forex markets volatility : empirical application of a model with random level shifts and genuine long memory

Rodriguez, Gabriel - In: The North American journal of economics and finance : a … 42 (2017), pp. 393-420

Persistent link: https://www.econbiz.de/10011938140

Modeling and forecasting exchange rate volatility in time-frequency domain

Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - In: European journal of operational research : EJOR 251 (2016) 1, pp. 329-340

Persistent link: https://www.econbiz.de/10011446589

Long-memories and mean breaks in realized volatilities

Song, Hyejin; Shin, Dong-wan - In: Applied economics letters 22 (2015) 16/18, pp. 1273-1280

Persistent link: https://www.econbiz.de/10011380139

The application of multivariate GARCH models to turbulent financial markets

Zahnd, Edy - 2002 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001659873