Sökning: "tripower variation"
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1. Forecasting Exchange Rate Volatility. Applying HAR models and Implied Volatility in SEK denominated markets
Master-uppsats, Göteborgs universitet/Graduate SchoolSammanfattning : In this paper we study a set of models' forecasting accuracy of realized volatility in two SEK denominated exchange rates, EUR/SEK and USD/SEK, with the purpose to analyze if ex-post or ex-ante forecasting models produce the most accurate forecasts. High-frequency exchange rate data is employed in order to construct the ex-post Heterogeneous Autoregressive Model of Realized Volatility, HAR-RV, as well as a modi ed model using the bipower and tripower variation to separate the continuous sample path (C) and the jump component (J) of realized volatility, HAR-CJ. LÄS MER