Scheduled macroeconomic news announcements and Forex volatility forecasting

DOI10.1002/FOR.2773zbMath1476.62227OpenAlexW3129238639MaRDI QIDQ5012724

Tomáš Plíhal

Publication date: 25 November 2021

Published in: Journal of Forecasting (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/for.2773

zbMATH Keywords

forecastinghigh-frequency datarealized volatilityforexscheduled announcements

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic growth models (91B62)

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