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Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models

Research output: Contribution to Journal/Magazine › Journal article › peer-review

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Standard

Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models. / Pong, E; Shackleton, M B; Taylor, S J et al.
In: Journal of Banking and Finance, Vol. 28, No. 10, 2004, p. 2541-2563.

Research output: Contribution to Journal/Magazine › Journal article › peer-review

Harvard

Pong, E, Shackleton, MB, Taylor, SJ & Xu, X 2004, 'Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models', Journal of Banking and Finance, vol. 28, no. 10, pp. 2541-2563. https://doi.org/10.1016/j.jbankfin.2003.10.015

APA

Pong, E., Shackleton, M. B., Taylor, S. J., & Xu, X. (2004). Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models. Journal of Banking and Finance, 28(10), 2541-2563. https://doi.org/10.1016/j.jbankfin.2003.10.015

Vancouver

Pong E, Shackleton MB, Taylor SJ, Xu X. Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models. Journal of Banking and Finance. 2004;28(10):2541-2563. doi: 10.1016/j.jbankfin.2003.10.015

Author

Pong, E ; Shackleton, M B ; Taylor, S J et al. / Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models. In: Journal of Banking and Finance. 2004 ; Vol. 28, No. 10. pp. 2541-2563.

Bibtex

@article{5920364f459347adb15f9bc6064031af,
title = "Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models",
author = "E Pong and Shackleton, {M B} and Taylor, {S J} and X Xu",
year = "2004",
doi = "10.1016/j.jbankfin.2003.10.015",
language = "English",
volume = "28",
pages = "2541--2563",
journal = "Journal of Banking and Finance",
issn = "0378-4266",
publisher = "Elsevier",
number = "10",

}

RIS

TY - JOUR

T1 - Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models

AU - Pong, E

AU - Shackleton, M B

AU - Taylor, S J

AU - Xu, X

PY - 2004

Y1 - 2004

U2 - 10.1016/j.jbankfin.2003.10.015

DO - 10.1016/j.jbankfin.2003.10.015

M3 - Journal article

VL - 28

SP - 2541

EP - 2563

JO - Journal of Banking and Finance

JF - Journal of Banking and Finance

SN - 0378-4266

IS - 10

ER -