Predicting daily highs and lows of exchange rates: a cointegration analysis

DOI10.1080/02664760802578304OpenAlexW1998357898MaRDI QIDQ5123415

Angela W. W. He, Alan T. K. Wan

Publication date: 28 September 2020

Published in: Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02664760802578304

zbMATH Keywords

implied volatilityVECMdaily highdaily lowdirection of change

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (1)

Long memory, spurious memory: persistence in range-based volatility of exchange rates

Cites Work

• Unnamed Item
• Bayesian model averaging and exchange rate forecasts
• Statistical analysis of cointegration vectors
• Extended tabulations for Dickey-Fuller tests
• Bayesian comparison of bivariate ARCH-type models for the main exchange rates in Poland
• A multivariate conditional autoregressive range model
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

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