FX market volatility modelling : can we use low-frequency data?
Štefan Lyócsa, Tomáš Plíhal, Tomáš Výrost
| Year of publication: |
2021
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|---|---|
| Authors: | Lyócsa, Štefan ; Plíhal, Tomáš ; Výrost, Tomáš |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 40.2021, p. 1-16
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| Subject: | Volatility modelling | Foreign exchange markets | HAR | High-frequency data | Realized GARCH | Volatilität | Volatility | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | ARCH-Modell | ARCH model | Theorie | Theory | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2020.101776 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012820071