Nonlinear Features of Realized FX Volatility
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- John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
References listed on IDEAS
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Keywords
High-frequency data; realized volatility; semi-Marko; Données à haute fréquence; volatilité réalisée; demi-Markov;
All these keywords.JEL classification:
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2001-07-17 (Econometrics)
- NEP-ETS-2001-07-13 (Econometric Time Series)
- NEP-FMK-2001-07-13 (Financial Markets)
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