High- and low-frequency exchange rate volatility dynamics range -based estimation of stochastic volatility models

High- and low-frequency exchange rate volatility dynamics range -based estimation of stochastic volatility models

Bibliographic Details
Main Author: Alizadeh, Sassan
Other Authors: Brandt, Michael W., Diebold, Francis X.
Format: Book
Language:English
Published: Cambridge National Bureau of Economic Research 2001.
Series:NBER working paper series no.8162
Subjects:
Foreign exchange rates > Econometric models.
Estimation theory.