Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight (Q2515853)
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scientific article; zbMATH DE number 6471423
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| English | Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight |
scientific article; zbMATH DE number 6471423 |
Statements
Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight (English)
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7 August 2015
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continuous jump decomposition
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high frequency data
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jump
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long-memory
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overnight realized variance
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volatility forecasting
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volatility spillover
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0.7300001978874207
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0.7096456289291382
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0.7065878510475159
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0.7042524814605713
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0.7036606073379517
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