The Distribution of Realized Exchange Rate Volatility
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Cited in
(only showing first 100 items - show all)- Measuring Nonlinear Granger Causality in Mean
- Long memory and regime switching
- On the evaluation of intraday market quality in the limit-order book markets: a collaborative filtering approach
- Model selection for volatility prediction
- A Gaussian calculus for inference from high frequency data
- High frequency market microstructure noise estimates and liquidity measures
- Multivariate modelling of long memory processes with common components
- What does financial volatility tell us about macroeconomic fluctuations?
- Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use?
- Realized Volatility: A Review
- Refined Inference on Long Memory in Realized Volatility
- Integration of CARMA processes and spot volatility modelling
- Estimation of objective and risk-neutral distributions based on moments of integrated volatility
- Quantile forecasts for financial volatilities based on parametric and asymmetric models
- Testing normality: a GMM approach
- A Stochastic Volatility Model With Realized Measures for Option Pricing
- A conditional extreme value volatility estimator based on high-frequency returns
- From zero to hero: realized partial (co)variances
- The Wishart autoregressive process of multivariate stochastic volatility
- Realized volatility of index constituent stocks in Hong Kong
- Time-varying parameters realized GARCH models for tracking attenuation bias in volatility dynamics
- Realised quantile-based estimation of the integrated variance
- Is volatility lognormal? Evidence from Italian futures
- Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects
- The Volatility of Realized Volatility
- A generalized heterogeneous autoregressive model using market information
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Forecasting realised volatility using ARFIMA and HAR models
- On Gaussian HJM framework for Eurodollar futures
- Second-order asymptotic expansion for a non-synchronous covariation estimator
- Exploring exchange rate returns at different time horizons
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Stock volatility predictability in bull and bear markets
- Multiresolution approximation for volatility processes
- Efficient and positive semidefinite pre-averaging realized covariance estimator
- The SIML estimation of realized volatility of the Nikkei-225 futures and hedging coefficient with micro-market noise
- Nonparametric Estimation and Forecasting for Time-Varying Coefficient Realized Volatility Models
- Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
- Modeling daily realized futures volatility with singular spectrum analysis
- Long memory in integrated and realized variance
- Capturing volatility persistence: a dynamically complete realized EGARCH-MIDAS model
- ARMA representation of integrated and realized variances
- Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book
- The correlation dimension of returns with stochastic volatility
- Consistent estimation of covariation under nonsynchronicity
- Inference for Observations of Integrated Diffusion Processes
- Occupation density estimation for noisy high-frequency data
- Robust pair-copula based forecasts of realized volatility
- A combined filtering approach to high-frequency volatility estimation with mixed-type microstructure noises
- Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
- Conditional correlated jump dynamics in foreign exchange
- Nonparametric density estimation for positive time series
- Quantifying and understanding the economics of large financial movements
- On the inference about the spectral distribution of high-dimensional covariance matrix based on high-frequency noisy observations
- Integer-valued Lévy processes and low latency financial econometrics
- Estimating GARCH models using support vector machines*
- Multivariate Stochastic Volatility Model With Realized Volatilities and Pairwise Realized Correlations
- Realized regression with asynchronous and noisy high frequency and high dimensional data
- Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data
- Measuring volatility with the realized range
- No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications
- Market heterogeneities and the causal structure of volatility
- Realized range-based estimation of integrated variance
- Consistent ranking of volatility models
- Bias-corrected realized variance
- Extracting volatility signal using maximum a posteriori estimation
- Optimal design of Fourier estimator in the presence of microstructure noise
- When long memory meets the Kalman filter: a comparative study
- Monte Carlo Maximum Likelihood Estimation for Generalized Long-Memory Time Series Models
- New and fast block bootstrap-based prediction intervals for GARCH(1,1) process with application to exchange rates
- Estimating the integrated volatility using high-frequency data with zero durations
- Incorporating realized quarticity into a realized stochastic volatility model
- Box-Cox realized asymmetric stochastic volatility models with generalized Student's \(t\)-error distributions
- Two-state volatility transition pricing and hedging of TXO options
- Pricing mining concessions based on combined multinomial pricing model
- Volatility forecasting of strategically linked commodity ETFs: gold-silver
- On classifying the effects of policy announcements on volatility
- Adaptive parametric change point inference under covariance structure changes
- Forecasting and trading high frequency volatility on large indices
- Estimating overnight volatility of asset returns by using the generalized dynamic factor model approach
- The benefits of bagging for forecast models of realized volatility
- Subsampling high frequency data
- A fractionally integrated Wishart stochastic volatility model
- Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process
- Estimation of volatility functionals in the simultaneous presence of microstructure noise and jumps
- State space modeling of Gegenbauer processes with long memory
- Inverse Realized Laplace Transforms for Nonparametric Volatility Density Estimation in Jump-Diffusions
- A Range-Based Multivariate Stochastic Volatility Model for Exchange Rates
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
- ELS pricing and hedging in a fractional Brownian motion environment
- Breaks and persistency: macroeconomic causes of stock market volatility
- Regime switching for dynamic correlations
- An Alternative Methodology for Combining Different Forecasting Models
- Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes
- Macroeconomic fundamentals, jump dynamics and expected volatility
- Dynamic quantile function models
- High-frequency volatility modeling: a Markov-switching autoregressive conditional intensity model
- Modelling and forecasting stock volatility and return: a new approach based on quantile Rogers-Satchell volatility measure with asymmetric bilinear CARR model
- Forecasting time series with multivariate copulas
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