Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates
Chae-Deug Yi
| Year of publication: |
2020
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|---|---|
| Authors: | Yi, Chae-Deug |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 53.2020, p. 1-12
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| Subject: | Daily and Intraday Jump Statistic | Euro | Gumbel Distribution | Max Outlyingness | Periodicity Filter | Volatility | Volatilität | US-Dollar | US dollar | Wechselkurs | Exchange rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101184 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012632203