Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models

Pong, E and Shackleton, M B and Taylor, S J and Xu, X (2004) Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models. Journal of Banking and Finance, 28 (10). pp. 2541-2563. ISSN 0378-4266

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Item Type:
Journal Article
Journal or Publication Title:
Journal of Banking and Finance
Uncontrolled Keywords:
/dk/atira/pure/subjectarea/aacsb/disciplinebasedresearch
Subjects:
ID Code:
43832
Deposited By:
Deposited On:
11 Jul 2011 18:05
Refereed?:
Yes
Published?:
Published
Last Modified:
15 Jul 2020 02:59