Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models.
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| Title: | Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models. |
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| Authors: | Pong, Shiuyan1, Shackleton, Mark B.1, Taylor, Stephen J.1 s.taylor@lancaster.ac.uk, Xu, Xinzhong2 |
| Source: | Journal of Banking & Finance. Oct2004, Vol. 28 Issue 10, p2541-2563. 23p. |
| Database: | Business Source Ultimate |
| ISSN: | 03784266 |
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| DOI: | 10.1016/j.jbankfin.2003.10.015 |
