Modelling foreign exchange realized volatility using high frequency data : long memory versus structural breaks
Year of publication: |
2018
|
---|---|
Authors: | Ben Maatoug, Abderrazak ; Lamouchi, Rim ; Davidson, Russell ; Fatnassi, Ibrahim |
Published in: |
Central European journal of economic modelling and econometrics. - Lodz : Polish Academy of Sciences, ISSN 2080-0886, ZDB-ID 2529553-6. - Vol. 10.2018, 1, p. 1-25
|
Subject: | foreign exchange markets | realized volatility | high frequency data | long memory | structural change | Volatilität | Volatility | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Devisenmarkt | Foreign exchange market | Strukturbruch | Structural break | US-Dollar | US dollar | Kointegration | Cointegration | Deutsche Mark |
-
Caporale, Guglielmo Maria, (2013)
-
Maatoug, Abderazak Ben, (2019)
-
Caporale, Guglielmo Maria, (2013)
- More ...
-
Selection of Value-at-Risk models for MENA Islamic indices
Ben Ayed, Wassim, (2020)
-
Ben Maatoug, Abderrazak, (2011)
-
Maatoug, Abderazak Ben, (2019)
- More ...