Forecasting exchange rate volatility: An amalgamation approach
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DOI: 10.1016/j.intfin.2024.102067
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More about this item
Keywords
Exchange rates; Volatility forecasting; Forecast combination; Machine learning; Dimensionality reduction; Wavelet decomposition;All these keywords.
JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
Statistics
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