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Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/20472| Title: | Forecasting the volatility of the Australian dollar using high-frequency data: Does estimator accuracy improve forecast evaluation? |
| Authors: | Bailey, G Steeley, JM |
| Keywords: | Australian dollar;exchange rate;high–low range;realized variance;stochastic volatility;volatility forecasting |
| Issue Date: | 3-Apr-2019 |
| Publisher: | Wiley |
| Citation: | Bailey, G. and Steeley, J.M. (2019) 'Forecasting the volatility of the Australian dollar using high-frequency data: Does estimator accuracy improve forecast evaluation?', International Journal of Finance and Economics, 24 (3), pp. 1355 - 1389. doi: 10.1002/ijfe.1723. |
| URI: | https://bura.brunel.ac.uk/handle/2438/20472 |
| DOI: | https://doi.org/10.1002/ijfe.1723 |
| ISSN: | 1076-9307 |
| Appears in Collections: | Dept of Economics and Finance Embargoed Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Embargoed until 2021-04-03 | 559.54 kB | Adobe PDF | View/Open |
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