Dunis, Christian; Kellard, Neil M.; Snaith, Stuart - In: Journal of Banking & Finance 37 (2013) 12, pp. 4943-4957
This study models and forecasts the evolution of intraday implied volatility on an underlying EUR–USD exchange rate for a number of maturities. To our knowledge we are the first to employ high frequency data in this context. This allows the construction of forecasting models that can attempt...