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:
Departments: Lancaster University Management School > Accounting & Finance
ID Code: 43832
Deposited By: ep_importer_pure
Deposited On: 11 Jul 2011 18:05
Refereed?: Yes
Published?: Published
Last Modified: 22 Jun 2019 03:50
URI: https://eprints.lancs.ac.uk/id/eprint/43832

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