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Forecasting the volatility of currency exchange rates · Study

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ArticleForecasting the volatility of currency exchange rates

Stephen J. Taylor1987

Article1987

Forecasting the volatility of currency exchange rates

Stephen J. Taylor

187 citations·0/0 files stored·International Journal of Forecasting

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Forecasting Techniques and Applications

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References

1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1976The pricing of commodity contracts 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1986Modelling the persistence of conditional variances 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 1980On the Estimation of Security Price Volatilities from Historical Data 1983The Price Variability-Volume Relationship on Speculative Markets 2007Modelling Financial Time Series

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2005The Financial Performance of a Socially Responsible Investment Over Time and a Possible Link with Corporate Social Responsibility 2003A Multiple Indicators Model for Volatility Using Intra-Daily Data 1995Forecasting volatility in commodity markets 2011MACROECONOMIC UNCERTAINTY AND CONDITIONAL STOCK MARKET VOLATILITY IN SOUTH AFRICA*2001Forecasting daily exchange rate volatility using intraday returns

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2003Forecasting Volatility in Financial Markets: A Reviewarticle · 7 shared references 2010Parametric and Nonparametric Volatility Measurementchapter · 6 shared references 2005A Practical Guide to Forecasting Financial Market Volatilitybook · 6 shared references 2014Range Volatility: A Review of Models and Empirical Studieschapter · 6 shared references 1996The econometrics of financial marketsarticle · 5 shared references 1994Chapter 49 Arch modelschapter · 5 shared references

Details

Year1987

Typearticle

Published1987-01-01

VenueInternational Journal of Forecasting

ISSN-L0169-2070

Languageen

Citations187

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/0169-2070(87)90085-9

openalex_workW1968932853

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2021

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