Modelling Foreign Exchange Realized Volatility Using High Frequency Data : Long Memory Versus Structural Breaks
Year of publication: |
2019
|
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Authors: | Maatoug, Abderazak Ben |
Other Persons: | Lamouchi, Rim Ammar (contributor) ; Davidson, Russell (contributor) ; Fatnassi, Ibrahim (contributor) |
Publisher: |
[2019]: [S.l.] : SSRN |
Subject: | Volatilität | Volatility | Strukturbruch | Structural break | Wechselkurs | Exchange rate | US-Dollar | US dollar | Zeitreihenanalyse | Time series analysis | Prognoseverfahren | Forecasting model | Deutsche Mark | Kointegration | Cointegration |
Description of contents: | Abstract [papers.ssrn.com] |
Extent: | 1 Online-Ressource |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments January 9, 2018 erstellt Volltext nicht verfügbar |
Classification: | C22 - Time-Series Models ; C32 - Time-Series Models ; c58 ; F31 - Foreign Exchange ; G15 - International Financial Markets |
Source: | ECONIS - Online Catalogue of the ZBW |
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