Structural breaks and long memory in modeling and forecasting volatility of foreign exchange markets of oil exporters : the importance of scheduled and unscheduled news announcements
Walid Mensi; Shawkat Hammoudeh; Seong-Min Yoon
| Year of publication: |
2014
|
|---|---|
| Authors: | Mensi, Walid ; Hammoudeh, Shawkat ; Yoon, Seong-min |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 30.2014, p. 101-119
|
| Subject: | Dual long memory | Structural breaks | News announcements | ARFIMA-FIGARCH model | Out-of-sample forecasts | Volatilität | Volatility | Strukturbruch | Structural break | Wechselkurs | Exchange rate | Ankündigungseffekt | Announcement effect | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model | ARCH-Modell | ARCH model | Devisenmarkt | Foreign exchange market | Theorie | Theory |
| Extent: | graph. Darst. |
|---|---|
| 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://www.econbiz.de/10010490494