Browsing NTNU Open by Author "Kim, Young"
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FX Markets and Google searches - an investigation of Structural Breaks
Kim, Young; Poulsson, Anton Emil Bergh (Master thesis, 2016)This paper studies the dynamics of volatilities and correlations calculated from high-frequency data for seven major currency pairs. We build our model upon the precise Heterogeneous Autoregresive (HAR) model of \citet{corsi}. ...