Martens, Martin; Chang, Yuan-Chen; Taylor, Stephen J. - In: Journal of Financial Research 25 (2002) 2, pp. 283-299
In this article we compare volatility forecasts over a thirty-minute horizon for the spot exchange rates of the Deutsche mark and the Japanese yen against the U.S. dollar. Explicitly modeling the intraday seasonal pattern improves the out-of-sample forecasting performance. We find that a...