Forecasting exchange rate volatility.

DOI10.1016/S0165-1765(02)00036-8zbMath1100.91524OpenAlexW2094808838MaRDI QIDQ1603860

Jon Vilasuso

Publication date: 15 July 2002

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00036-8

zbMATH Keywords

Long memoryFractional integration

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items

Dynamic factor long memory volatility ⋮ Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate ⋮ Relative forecasting performance of volatility models: Monte Carlo evidence ⋮ Evaluating volatility forecasts in option pricing in the context of a simulated options market ⋮ Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching ⋮ A continuous time Bayesian network classifier for intraday FX prediction

Cites Work

• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• The detection and estimation of long memory in stochastic volatility
• Modeling and pricing long memory in stock market volatility
• Modelling the persistence of conditional variances
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances