Foreign exchange risk management is a new challenging area. After globalization, the perfection in exchange rate forecasting is very essential for hedging decisions. In this paper, an attempt has been made to estimate the parameters of Autoregressive Integrated Moving Average (ARIMA) and...

We utilise functional time series (FTS) techniques to characterise and forecast implied volatility in foreign exchange markets. In particular, we examine the daily implied volatility curves of FX options, namely; EUR-USD, EUR-GBP, and EUR-JPY. Based on existing techniques in the literature, the...

In this paper we test for the existence of long memory and structural breaks in the realized variance process for the DM/US$ and Yen/US$ exchange rates. While long memory is evident in the actual processes, a structural break analysis reveals that this feature is partially explained by...