Which continuous-time model is most ...

Document type :
Compte-rendu et recension critique d'ouvrage
DOI :
10.1016/j.jbankfin.2015.09.014
Title :
Which continuous-time model is most appropriate for exchange rates?
Author(s) :
Erdemlioglu, Deniz [Auteur]
Lille économie management - UMR 9221 [LEM]
Laurent, Sébastien [Auteur]
Groupement de Recherche en Économie Quantitative d'Aix-Marseille [GREQAM]
Laboratoire Kastler Brossel [LKB (Lhomond)]
Neely, Christopher J. [Auteur]
Journal title :
Journal of Banking and Finance
Pages :
S256--S268
Publisher :
Elsevier
Publication date :
2015-12
ISSN :
0378-4266
English keyword(s) :
Brownian motion
exchange rates
High-frequency data
Intraday periodicity
Jumps
Volatility
HAL domain(s) :
Sciences de l'Homme et Société/Economies et finances
English abstract : [en]
This paper evaluates the most appropriate ways to model diffusion and jump features of high-frequency exchange rates in the presence of intraday periodicity in volatility. We show that periodic volatility distorts the size ...
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Language :
Anglais
Popular science :
Non
Comment :
ACL-2
Collections :
Source :
Harvested from HAL
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