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Fast fractional differencing in modeling long memory of conditional variance for high-frequency data
Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279
Persistent link: https://www.econbiz.de/10011808179
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Exogenous drivers of Bitcoin and Cryptocurrency volatility : a mixed data sampling approach to forecasting
Walther, Thomas; Klein, Tony; Bouri, Elie - In: Journal of international financial markets, … 63 (2019), pp. 1-13
Persistent link: https://www.econbiz.de/10012263290
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Exogenous drivers of cryptocurrency volatility : a mixed data sampling approach to forecasting
Walther, Thomas; Klein, Tony - 2018
We apply the GARCH-MIDAS framework to forecast the daily, weekly, and monthly volatility of five highly capitalized …
Persistent link: https://www.econbiz.de/10011906495
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True or spurious long memory in European non-EMU currencies
Walther, Thomas; Klein, Tony; Thu, Hien Pham; Piontek, … - In: Research in international business and finance 40 (2017), pp. 217-230
Persistent link: https://www.econbiz.de/10011912762