Forecasting exchange rate volatility using autoregressive random variance model

Applied Financial Economics

Volumn 9, Issue 6, 1999, Pages 583-591

  So, Mike K P ^c   Lam, K ^a   Li, W K ^b  

^a HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

^b UNIVERSITY OF HONG KONG   (Hong Kong)

^c HONG KONG UNIVERSITY OF SCIENCE AND TECHNOLOGY   (Hong Kong)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0010024325     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031099332032     Document Type: Article

References (13)

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10. So, M. K. P., Li, W. K. and Lam, K. (1997b) Multivariate modelling of the autoregressive random variance process, Journal of Time Series Analysis, 18, 429-46.
11. Taylor, S. J. (1982) Financial returns modelled by the product of two stochastic processes, a study of daily sugar prices 1961-79, in Anderson, O. D. (eds), Time Series Analysis: Theory and Practice 1, pp. 203-226 (Amsterdam: North-Holland).
12. Taylor, S. J. (1986) Modelling Financial Time Series (New York: John Wiley).
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