Forecasting (Good and Bad) Realized Exchange-Rate Volatility: Is there a Role for Realized Skewness and Kurtosis?
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- Riza Demirer & Rangan Gupta & Christian Pierdzioch, 2018. "Time-Varying Risk Aversion and Realized Gold Volatility," Working Papers 201881, University of Pretoria, Department of Economics.
More about this item
KeywordsExchange rates; Realized volatility; Forecasting;
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-RMG-2018-12-03 (Risk Management)
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