Modeling and forecasting exchange rate volatility in time-frequency domain (Q322677)
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scientific article; zbMATH DE number 6636138
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| English | Modeling and forecasting exchange rate volatility in time-frequency domain |
scientific article; zbMATH DE number 6636138 |
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Modeling and forecasting exchange rate volatility in time-frequency domain (English)
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7 October 2016
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realized GARCH
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wavelet decomposition
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jumps
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multi-period-ahead volatility forecasting
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0.784900963306427
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0.7767971754074097
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0.7708818316459656
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0.7665150761604309
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0.7663916945457458
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