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Bergdorf-Nielsen, O.E. and Shephard, N. (2004) Power and Power Variation with Stochastic Volatility and Jumps. Journal of Financial Economics, 2, 1-48.

has been cited by the following article:

• TITLE: Modeling Exchange Rate Volatility Dynamics of the Great Britain Pound to Ethiopian Birr Using the Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model

  AUTHORS: Geleta T. Mohammed, Jane A. Aduda, Ananda O. Kube

  KEYWORDS: Volatility Forecasting, ARCH, EGARCH, ANN, Semi-Parametric Non-Linear Fuzzy-EGARCH-ANN Model

  JOURNAL NAME: Journal of Mathematical Finance, Vol.10 No.4, October 23, 2020

  ABSTRACT: In this paper, a robust analysis of volatility forecasting of the GBP-ETB exchange rate was provided using weekly data spanning the period June 30, 2003-January 24, 2020. To our knowledge, this was the first study that focuses on the GBP-ETB exchange rate using high-frequency data and the Fuzzy-EGARCH-ANN econometric model. The research finds that the best performing model in terms of one-step ahead forecasts based on realized volatility computed from the underlying daily data series is the Fuzzy-EGARCH-ANN(1, 2, 2, 1) with students t-distribution.