Exchange rate volatility and intraday jump probability with periodicity filters using a local robust variance
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DOI: 10.1016/j.frl.2023.103821
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More about this item
Keywords
Exchange rate; Volatility; Jump; Periodicity filter; Average truncated power variation;All these keywords.
JEL classification:
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
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