| bibtype |
J -
Journal Article
|
| ARLID |
0456184 |
| utime |
20240103211849.0 |
| mtime |
20160207235959.9 |
| SCOPUS |
84955063029 |
| WOS |
000369473300030 |
| DOI |
10.1016/j.ejor.2015.12.010 |
| title
(primary) (eng) |
Modeling and forecasting exchange rate volatility in time-frequency domain |
| specification |
| page_count |
12 s. |
| media_type |
P |
|
| serial |
| ARLID |
cav_un_epca*0252893 |
| ISSN |
0377-2217 |
| title
|
European Journal of Operational Research |
| volume_id |
251 |
| volume |
1 (2016) |
| page_num |
329-340 |
| publisher |
|
|
| keyword |
Realized GARCH |
| keyword |
Wavelet decomposition |
| keyword |
Jumps |
| keyword |
Multi-period-ahead volatility forecasting |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| full_dept (cz) |
Ekonometrie |
| full_dept (eng) |
Department of Econometrics |
| department (cz) |
E |
| department (eng) |
E |
| full_dept |
Department of Econometrics |
| share |
33 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| garant |
A |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0327877 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
33 |
| name1 |
Křehlík |
| name2 |
Tomáš |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0101217 |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| share |
34 |
| name1 |
Vácha |
| name2 |
Lukáš |
| institution |
UTIA-B |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| project |
| ARLID |
cav_un_auth*0292677 |
| project_id |
GA13-32263S |
| agency |
GA ČR |
|
| project |
| ARLID |
cav_un_auth*0308905 |
| project_id |
612955 |
| agency |
EC |
|
| abstract
(eng) |
This paper proposes an enhanced approach to modeling and forecasting volatility using high frequency data. Using a forecasting model based on Realized GARCH with multiple time-frequency decomposed realized volatility measures, we study the influence of different timescales on volatility forecasts. The decomposition of volatility into several timescales approximates the behaviour of traders at corresponding investment horizons. The proposed methodology is moreover able to account for impact of jumps due to a recently proposed jump wavelet two scale realized volatility estimator. We propose a realized Jump-GARCH models estimated in two versions using maximum likelihood as well as observation-driven estimation framework of general- ized autoregressive score. We compare forecasts using several popular realized volatility measures on foreign exchange rate futures data covering the recent financial crisis. |
| RIV |
AH |
| reportyear |
2017 |
| num_of_auth |
3 |
| mrcbC52 |
4 A hod 4ah 20231122141530.0 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0260444 |
| cooperation |
| ARLID |
cav_un_auth*0308308 |
| name |
Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague |
| institution |
IES FSV UK |
| country |
CZ |
|
| mrcbC64 |
1 Department of Econometrics UTIA-B 50200 OPERATIONS RESEARCH & MANAGEMENT SCIENCE |
| confidential |
S |
| mrcbC86 |
1* Article Management|Operations Research Management Science |
| mrcbT16-e |
OPERATIONSRESEARCHMANAGEMENTSCIENCE |
| mrcbT16-j |
1.095 |
| mrcbT16-s |
2.489 |
| mrcbT16-4 |
Q1 |
| mrcbT16-B |
82.913 |
| mrcbT16-D |
Q1 |
| mrcbT16-E |
Q1 |
| arlyear |
2016 |
| mrcbTft |
\nSoubory v repozitáři: barunik-0456184.pdf |
| mrcbU14 |
84955063029 SCOPUS |
| mrcbU34 |
000369473300030 WOS |
| mrcbU63 |
cav_un_epca*0252893 European Journal of Operational Research 0377-2217 1872-6860 Roč. 251 č. 1 2016 329 340 Elsevier |
|