Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight (Q2515853)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight |
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Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight (English)
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7 August 2015
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continuous jump decomposition
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high frequency data
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jump
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long-memory
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overnight realized variance
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volatility forecasting
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volatility spillover
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