Interfaces with Other DisciplinesModeling and forecasting exchange rate volatility in time-frequency domain☆

European Journal of Operational Research(2016)

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摘要
•We propose a time-frequency approach to modeling and forecasting volatility.•The methodology is based on the decomposition of volatility into several time scales and jumps.•We compare performance of the model to several realized volatility measures.•We find that most of the information for future volatility comes from high frequency part of the spectra.
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关键词
Realized GARCH,Wavelet decomposition,Jumps,Multi-period-ahead volatility forecasting
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