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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …
Persistent link: https://www.econbiz.de/10010461231
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A multiplicative error model with heterogeneous components for forecasting realized volatility
Han, Heejoon; Park, Myung D.; Zhang, Shen - In: Journal of forecasting 34 (2015) 3, pp. 209-219
Persistent link: https://www.econbiz.de/10011305259
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Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - In: Journal of financial economics 108 (2013) 2, pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
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Time series econometrics
Neusser, Klaus - 2016
Persistent link: https://www.econbiz.de/10011485298
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The relationship between spot and futures oil prices : do structural breaks matter?
Chen, Pei-fen; Lee, Chien-chiang; Zeng, Jhih-hong - In: Energy economics 43 (2014), pp. 206-217
Persistent link: https://www.econbiz.de/10010504823
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Prognosemodelle und Handelsansätze für Implizite Volatilitäten
Sachtler, Michael - 2004
Persistent link: https://www.econbiz.de/10002392690
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Finanzmarkt-Ökonometrie : Basistechniken, fortgeschrittene Verfahren, Prognosemodelle
Schröder, Michael (ed.); Buscher, Herbert S. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001629835
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Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Maatoug, Abderazak Ben - 2019
In this study, we model realized volatility constructed from intraday high-frequency data. We explore the possibility of confusing long memory and structural breaks in the realized volatility of the following spot exchange rates: EUR/USD, EUR/JPY, EUR/CHF, EUR/GBP, and EUR/AUD. The results show...
Persistent link: https://www.econbiz.de/10012900291
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The Application of Error Correction Model in Forecasting Market Volatility on Emerging Currency Options Markets
Mielus, Piotr - 2015
The paper presents examples of application of error correction models (ECM) in forecasting daily changes of market volatility recorded on currency options markets in Poland, Hungary and South Africa. The models are based on the observed correlation between daily changes of spot rates and daily...
Persistent link: https://www.econbiz.de/10013020691
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Price discovery and volatility transmission in the spot and futures market of pepper : an empirical analysis
Nadig, Asha; Viswanathan, T. - In: International journal of intelligent enterprise 9 (2022) 1, pp. 78-99
Persistent link: https://www.econbiz.de/10012799917