Forecasting daily exchange rate volatility using intraday returns

Journal of International Money and Finance

Volumn 20, Issue 1, 2001, Pages 1-23

  Martens, Martin ^a  

^a UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Forecasting volatility; Foreign exchange rates; G15; GARCH; Value at risk

Indexed keywords

EID: 0000600239     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0261-5606(00)00047-4     Document Type: Article

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