Similar Search Results - EconBiz

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

The One-Trading-Day-Ahead Forecast Errors of Intra-Day Realized Volatility

Degiannakis, Stavros Antonios - 2018

Two volatility forecasting evaluation measures are considered; the squared one-day ahead forecast error and its … forecasting accuracy. Additionally, we explore the forecasting accuracy based on the squared distance of the forecast error …

Persistent link: https://www.econbiz.de/10012910114

Do market participants' forecasts of financial variables outperform the random-walk benchmark?

Kladívko, Kamil; Österholm, Pär - In: Finance research letters 40 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012819546

Real Exchange Rate Forecasting and PPP : This Time the Random Walk Loses

Ca' Zorzi, Michele - 2017

also in terms of nominal effective exchange rate forecasting …

Persistent link: https://www.econbiz.de/10012971234

Forecasting Implied Volatility in Foreign Exchange Markets : A Functional Times Series Approach

Kearney, Fearghal - 2016

currencies, moneyness segments, contract maturities, forecasting horizons, and out-of-sample window lengths. The economic signi …

Persistent link: https://www.econbiz.de/10013004985

Directional Forecasting in Financial Time Series Using Support Vector Machines : The USD/EURO Exchange Rate

Plakandaras, Vasilios - 2014

In this paper, we present a novel machine learning based forecasting system of the EUR/USD exchange rate directional …

Persistent link: https://www.econbiz.de/10013059838

Forecasting in the presence of instabilities : how we know whether models predict well and how to improve them

Rossi, Barbara - In: Journal of economic literature 59 (2021) 4, pp. 1135-1190

Persistent link: https://www.econbiz.de/10012704749

Exchange rate predictability, common factors, and applications in carry trade

Ogruk-Maz, Gokcen; Wu, Shengxiong; Yildirim, Sinan - In: International journal of monetary economics and finance … 13 (2020) 6, pp. 513-530

Persistent link: https://www.econbiz.de/10012515315

News will tell : forecasting foreign exchange rates based on news story events in the economy calendar

Semiromi, Hamed Naderi; Lessmann, Stefan; Petersen, Wiebke - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-12

Persistent link: https://www.econbiz.de/10012654984

Tales of tails : jumps in currency markets

Lee, Suzanne S.; Wang, Minho - In: Journal of financial markets 48 (2020), pp. 1-29

Persistent link: https://www.econbiz.de/10012631807

A service of the