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Considering the inferior volatility tracking capability of the point-data-based models, we propose using the more … informative price interval data and building interval regression models for volatility forecasting. To characterize the … heterogeneity of the market and the nonlinearity of volatility, we incorporated the heterogeneous autoregressive structure and the …
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This study aimed to evaluate the conditional effect of exchange rate volatility on stock prices and returns in the … volatility, market performance becomes highly responsive to fluctuations in currency values. The findings of this research will …
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This paper develops a method to select the threshold in threshold-based jump detection methods. The method is motivated by an analysis of threshold-based jump detection methods in the context of jump-diffusion models. We show that over the range of sampling frequencies a researcher is most...
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