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Forecasting foreign exchange volatility : why is implied volatility biased and inefficient? ; and does it matter?
Neely, Christopher J. - In: Journal of international financial markets, … 19 (2009) 1, pp. 188-205
Persistent link: https://www.econbiz.de/10003797288
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A comparative study of neural network and ARIMA model for exchange rate forecasting
Özkan, Filiz - In: The empirical economics letters : a monthly … 10 (2011) 11, pp. 1069-1080
Persistent link: https://www.econbiz.de/10009572638
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A filtering process to remove the stochastic component from intraday seasonal volatility
Cho, Jang Hyung; Daigler, Robert T. - In: The journal of futures markets 34 (2014) 5, pp. 479-495
Persistent link: https://www.econbiz.de/10010370879
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Structural change and long-range dependence in volatility of exchange rates : either, neither or both?
Morana, Claudio; Beltratti, Andrea - In: Journal of empirical finance 11 (2004) 5, pp. 629-658
Persistent link: https://www.econbiz.de/10002260298
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Long memory in the R$, US$ exchange rate : a robust analysis
Laurini, Márcio Poletti; Portugal, Marcelo Savino - In: Brazilian review of econometrics : the review of the … 24 (2004) 1, pp. 109-147
Persistent link: https://www.econbiz.de/10003116247
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Forecasting foreign exchange volatility : is implied volatility the best we can do?
Neely, Christopher J. (contributor) - 2003 - [Elektronische Ressource], rev
Persistent link: https://www.econbiz.de/10001974118
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Change in volatility in the won US dollar daily exchange rate : stochastic volatility model
Lee, Jinsoo - In: Asia-Pacific financial markets 7 (2000) 1, pp. 83-96
Persistent link: https://www.econbiz.de/10001506579
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Long memory in foreign exchange rates revisited
Tschernig, Rolf - In: Journal of international financial markets, … 5 (1995) 2/3, pp. 53-78
Persistent link: https://www.econbiz.de/10001508144
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Autoregressive moving average models with t and hyperbolic innovations
Polasek, Wolfgang; Pai, Jeffrey - 1998
Persistent link: https://www.econbiz.de/10001372542
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Forecasting with ARMA models : a case study of the exchange rate between the US Dollar and a unit of the British Pound
Isiaka, Abdulaleem; Isiaka, Abdulqudus; Isiaka, Abdulqadir - 2021
Persistent link: https://www.econbiz.de/10012593861