Forecasting EUR-USD implied volatility : the case of intraday data
Christian Dunis; Neil M. Kellard; Stuart Snaith
| Year of publication: |
2014
|
|---|---|
| Authors: | Dunis, Christian ; Kellard, Neil M. ; Snaith, Stuart |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 12, p. 4943-4957
|
| Subject: | Exchange rates | Implied volatility | Intraday data | Out-of-sample prediction | Volatilität | Volatility | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | ARCH-Modell | ARCH model | Börsenkurs | Share price | US-Dollar | US dollar |
| 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/10010341879