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Volumn 15, Issue 4, 2008, Pages 729-750

Quantile forecasts of daily exchange rate returns from forecasts of realized volatility

Author keywords

C32; C53; Exchange rates; F37; HAR; MIDAS; Quantile forecasting; Realized volatility

Indexed keywords


EID: 46149104544     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2007.12.001     Document Type: Article
Times cited : (93)

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