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: International Journal of Finance and Economics, 2019, 24 (3), pp. 1355 - 1389
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 SizeFormat 
FullText.pdfEmbargoed until 2021-04-03559.54 kBAdobe PDFView/Open


Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.