Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics
Link
http://link.springer.com/content/pdf/10.1007/s10368-014-0289-4.pdf
Reference26 articles.
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3. Andersen T, Bollerslev T, Diebold FX, Labys P (2003) Modeling and forecasting realized volatility. Econometrica 71(2):579–626
4. Baillie RA, Bollerslev T (1991) Intra-day and inter-market volatility in foreign exchange rates. Rev Econ Stud 58(3):565–585
5. Balaban E (2004) Comparative forecasting performance of symmetric and asymmetric conditional volatility models of an exchange rate. Econ Lett 83(1):99–105
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