Modeling and forecasting exchange rate volatility in time-frequency domain

DOI10.1016/J.EJOR.2015.12.010zbMath1346.62101arXiv1204.1452OpenAlexW2911676950MaRDI QIDQ322677

Jozef Barunik, Tomas Krehlik, Lukas Vacha

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1452

zbMATH Keywords

jumpswavelet decompositionmulti-period-ahead volatility forecastingrealized GARCH

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (10)

Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis ⋮ The continuous-time limit of score-driven volatility models ⋮ Volatility forecasting of financial time series using wavelet based exponential generalized autoregressive conditional heteroscedasticity model ⋮ Forecasting volatility returns of oil price using gene expression programming approach. ⋮ A practical multivariate approach to testing volatility spillover ⋮ Estimation of long memory in volatility using wavelets ⋮ Option pricing with conditional GARCH models ⋮ A neural network enhanced volatility component model ⋮ New evidence on market response to public announcements in the presence of microstructure noise ⋮ Fat tails, serial dependence, and implied volatility index connections

Uses Software

• wmtsa

Cites Work

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