Forecasting foreign exchange volatility : why is implied volatility biased and inefficient? ; and does it matter?
Christopher J. Neely
| Year of publication: |
2009
|
|---|---|
| Authors: | Neely, Christopher J. |
| Published in: |
Journal of international financial markets, institutions & money. - Amsterdam : Elsevier, ISSN 1042-4431, ZDB-ID 1117317-8. - Vol. 19.2009, 1, p. 188-205
|
| Subject: | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Volatilität | Volatility | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | USA | United States | ARMA-Modell | ARMA model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003797288