Modelling foreign exchange realized volatility using high frequency data : long memory versus structural breaks
Abderrazak Ben Maatoug, Rim Lamouchi, Russell Davidson and Ibrahim Fatnassi
| Year of publication: |
2018
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|---|---|
| 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
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| Subject: | foreign exchange markets | realized volatility | high frequency data | long memory | structural change | Volatilität | Volatility | Wechselkurs | Exchange rate | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Devisenmarkt | Foreign exchange market | US-Dollar | US dollar | Theorie | Theory | ARMA-Modell | ARMA model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10011918105