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

DOI10.1016/j.jkss.2014.11.001zbMath1485.62151OpenAlexW2086270256MaRDI QIDQ2515853

Sooin Yun, Dong Wan Shin

Publication date: 7 August 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.11.001

zbMATH Keywords

volatility spilloverhigh frequency datajumplong-memoryvolatility forecastingcontinuous jump decompositionovernight realized variance

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Related Items (2)

A CUSUM test for panel mean change detection ⋮ An integrated heteroscedastic autoregressive model for forecasting realized volatilities

Cites Work

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