Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?
نویسندگان
چکیده
منابع مشابه
Forecasting realized exchange rate volatility by decomposition
We compare forecasts of the realized volatility of the exchange rate returns of the Euro against the U.S. Dollar and the Japanese Yen obtained both directly and through decomposition. Decomposing the realized volatility into its continuous sample path and jump components, and modeling and forecasting them separately instead of directly forecasting the realized volatility, is shown to lead to im...
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ژورنال
عنوان ژورنال: International Review of Economics & Finance
سال: 2021
ISSN: 1059-0560
DOI: 10.1016/j.iref.2020.10.001