Modeling and forecasting exchange rate volatility in time-frequency domain

DOI10.1016/j.ejor.2015.12.010zbMath1346.62101arXiv1204.1452OpenAlexW2911676950MaRDI QIDQ322677

Jozef Barunik, Tomas Krehlik, Lukas Vacha

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.1452

zbMATH Keywords

jumpswavelet decompositionmulti-period-ahead volatility forecastingrealized GARCH

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Uses Software

• wmtsa

Cites Work

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