Exploring exchange rate returns at different time horizons

DOI10.1016/S0378-4371(02)00986-XzbMATH Open0998.91038MaRDI QIDQ699145FDOQ699145

Authors: Ramzi Nekhili, Aslihan Altay-Salih, Ramazan Gençay 

Publication date: 6 October 2002

Published in: Physica A (Search for Journal in Brave)

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• The Distribution of Realized Exchange Rate Volatility
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zbMATH Keywords

continuous time processesfrequenciesunconditional rate density

Mathematics Subject Classification ID

Trade models (91B60)

Cites Work

• The Distribution of Realized Exchange Rate Volatility
• Modelling the persistence of conditional variances

Cited In (3)

• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• Time-varying persistence of inflation: evidence from a wavelet-based approach
• Recurrence quantification analysis of denoised index returns via alpha-stable modeling of wavelet coefficients: detecting switching volatility regimes

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