Blar i NTNU Open på forfatter "Kim, Young"
-
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}. ...