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Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight

Title
Forecasting the realized variance of the log-return of Korean won US dollar exchange rate addressing jumps both in stock-trading time and in overnight
Authors
Yun S.Shin D.W.
Ewha Authors
신동완
SCOPUS Author ID
신동완scopus
Issue Date
2014
Journal Title
Journal of the Korean Statistical Society
ISSN
1226-3192JCR Link
Publisher
Korean Statistical Society
Indexed
SCIE; SCOPUS; KCI WOS scopus
Abstract
Continuous jump decomposition; High frequency data; Jump; Long-memory; Overnight realized variance; Primary; Secondary; Volatility forecasting; Volatility spillover
DOI
10.1016/j.jkss.2014.11.001
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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