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Modeling and forecasting exchange rate volatility in time-frequency domain
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SYSNO 0456184 Title Modeling 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] RIDCorespondence/senior Baruník, Jozef - Korespondující senior autor Source Title European Journal of Operational Research. Roč. 251, č. 1 (2016), s. 329-340. - : Elsevier Document Type Článek v odborném periodiku Grant GA13-32263S GA ČR - Czech Science Foundation (CSF) 612955 Institutional support UTIA-B - RVO:67985556 Language eng Country NL 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 Link http://hdl.handle.net/11104/0260444
Number of the records: 1