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Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/20472Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Bailey, G | - |
| dc.contributor.author | Steeley, JM | - |
| dc.date.accessioned | 2020-03-10T19:05:57Z | - |
| dc.date.available | 2019-07-01 | - |
| dc.date.available | 2020-03-10T19:05:57Z | - |
| dc.date.issued | 2019-04-03 | - |
| dc.identifier.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. | en_US |
| dc.identifier.issn | 1076-9307 | - |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/20472 | - |
| dc.format.extent | 1355 - 1389 | - |
| dc.language.iso | en | en_US |
| dc.publisher | Wiley | en_US |
| dc.rights | This is the peer reviewed version of the following article: Forecasting the volatility of the Australian dollar using high-frequency data: Does estimator accuracy improve forecast evaluation?, which has been published in final form at https://doi.org/10.1002/ijfe.1723. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving | - |
| dc.subject | Australian dollar | en_US |
| dc.subject | exchange rate | en_US |
| dc.subject | high–low range | en_US |
| dc.subject | realized variance | en_US |
| dc.subject | stochastic volatility | en_US |
| dc.subject | volatility forecasting | en_US |
| dc.title | Forecasting the volatility of the Australian dollar using high-frequency data: Does estimator accuracy improve forecast evaluation? | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | https://doi.org/10.1002/ijfe.1723 | - |
| dc.relation.isPartOf | International Journal of Finance and Economics | - |
| pubs.issue | 3 | - |
| pubs.publication-status | Published | - |
| pubs.volume | 24 | - |
| dc.identifier.eissn | 1099-1158 | - |
| 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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