Chortareas, Georgios; Nankervis, John; Jiang, Ying - Money Macro and Finance Research Group - 2007
This paper focuses on forecasting volatility of high frequency Euro exchange rates. Four 15 minute frequency Euro exchange rate series, including Euro/CHF, Euro/GBP, Euro/JPY and Euro/USD, are used to test the forecast performance of six models, including both traditional time series volatility...
