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Volatility, Multivariate GARCH models, Financial econometrics
Value-at-Risk, Realized Volatility, Skewed Student Distribution, APARCH
high-frequency data, jump detection, periodicity, long memory, robust statistics
Multivariate skew density, multivariate student density, multivariate GARCH models, Value-at-Risk
exchange rate, futures, bonds, realized volatility, bipower variation, jumps, macroeconomic announcement.
Continuous-time methods, high-frequency data, quadratic covariation, realized covolatility, semi-martingales
Foreign exchange volatility, ARCH models, realized volatility, intraday periodicity, jumps, macroeconomic announcements, central bank interventions
Bootstrap, Grouped Ranking, Risk Measures, Uncertainty
Conditional skewness, asymmetry
Central Bank Interventions, Exchange Rates Realized Moments, Intradaily Dynamics
volume, volatility, transactions, jumps, bi-power variation
Cholesky decomposition, Integrated covariance, Positive semidefinite
Central Bank interventions, Foreign Exchange Markets, Stochastic Volatility, Bayesian Estimation
Central bank interventions, currency components, foreign exchange, Markov chain Monte Carlo, stochastic volatility, structural time series models
unit root test, random walk, in-fill asymptotic, jumps, GARCH, periodicity, microstructure noise
intervention, exchange rate, jumps, bi-power variation, volatility, central bank
Central banks, Foreign exchange market, Interventions, Communication policy, Rumours
Volatility, multivariate GARCH, matrix norm, loss function, model confidence set
Drift, High-frequency Data, Serial Covariance, Volatility Forecasting
Exchange rates, Brownian motion, Volatility, Jumps, Intraday periodicity, High-frequency data
Jumps, Ornstein-Uhlenbeck processes, random walk, local-to-unity, intraday data
Long memory, Vector Autoregressive Model, Marginalization, Final Equation Representation, Volatility
Bayesian estimation, Ridge regression, Vector autoregressive model, Forecasting.
