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Modeling and forecasting exchange rate volatility in time-frequency domain

Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - In: European journal of operational research : EJOR 251 (2016) 1, pp. 329-340

Persistent link: https://www.econbiz.de/10011446589

Modeling and forecasting exchange rate volatility in time-frequency domain

Barunik, Jozef; Krehlik, Tomas; Vacha, Lukas - 2016

-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of generalized …

Persistent link: https://www.econbiz.de/10011412440

Expectation formation in the foreign exchange market : a time-varying heterogeneity approach using survey data

Prat, Georges; Uctum, Remzi - In: Applied economics 47 (2015) 34/36, pp. 3673-3695

Persistent link: https://www.econbiz.de/10011293469

Forecasting exchange rates : the time-varying relationship between exchange rates and Taylor rule fundamentals

Haskamp, Ulrich - 2017

There is empirical evidence for a time-varying relationship between exchange rates and fundamentals. Such a relationship with time-varying coefficients can be estimated by a Kalman filter model. A Kalman filter estimates the coefficients recursively depending on the prediction error of the...

Persistent link: https://www.econbiz.de/10011700704