Number of the records: 1  

Modeling and forecasting exchange rate volatility in time-frequency domain

  1. 1.
    SYSNO0456184
    TitleModeling and forecasting exchange rate volatility in time-frequency domain
    Author(s) Baruník, Jozef (UTIA-B) [E] RID, ORCID
    Křehlík, Tomáš (UTIA-B) [E]
    Vácha, Lukáš (UTIA-B) [E] RID
    Corespondence/seniorBaruník, Jozef - Korespondující senior autor
    Source Title European Journal of Operational Research. Roč. 251, č. 1 (2016), s. 329-340. - : Elsevier
    Document TypeČlánek v odborném periodiku
    Grant GA13-32263S GA ČR - Czech Science Foundation (CSF)
    612955
    Institutional supportUTIA-B - RVO:67985556
    Languageeng
    CountryNL
    Keywords Realized GARCH * Wavelet decomposition * Jumps * Multi-period-ahead volatility forecasting
    Cooperating institutions Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague (Czech Republic)
    URL http://library.utia.cas.cz/separaty/2016/E/barunik-0456184.pdf
    Permanent Linkhttp://hdl.handle.net/11104/0260444
     
Number of the records: 1  

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