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

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Forecasting currency volatility: a comparison of implied volatilities and AR(FI)MA models. / Pong, E; Shackleton, M B; Taylor, S J; Xu, X.

In: Journal of Banking and Finance, Vol. 28, No. 10, 2004, p. 2541-2563.

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Pong, E ; Shackleton, M B ; Taylor, S J ; Xu, X. / 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 -