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Forecasting exchange rate volatility

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Author Info
Vilasuso, Jon
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File URL: http://www.sciencedirect.com/science/article/B6V84-45CNCCP-1/2/3701aabe5d926da65b4e0b9620b1a78b
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 76 (2002)
Issue (Month): 1 (June)
Pages: 59-64
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Handle: RePEc:eee:ecolet:v:76:y:2002:i:1:p:59-64

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  1. Lux, Thomas, 2004. "The Markov-switching multi-fractal model of asset returns : GMM estimation and linear forecasting of volatility," Economics Working Papers 2004,11, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
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  2. Antonio Rubia & Trino-Manuel Ñíguez, 2003. "Forecasting The Conditional Covariance Matrix Of A Portfolio Under Long-Run Temporal Dependence," Working Papers. Serie AD 2003-34, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
    Other versions:
  3. Lux, Thomas, 2003. "The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting," Economics Working Papers 2003,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    Other versions:
  4. Carol Alexander & Elizabeth Sheedy, 2007. "Model-Based Stress Tests: Linking Stress Tests to VaR for Market Risk," ICMA Centre Discussion Papers in Finance icma-dp2007-02, Henley Business School, Reading University. [Downloadable!]
  5. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, vol. 10(3), pages 169-196, September. [Downloadable!] (restricted)
  6. Lux, Thomas & Kaizoji, Taisei, 2004. "Forecasting volatility and volume in the Tokyo stock market : the advantage of long memory models," Economics Working Papers 2004,05, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
  7. Lux, Thomas & Kaizoji, Taisei, 2006. "Forecasting volatility and volume in the Tokyo stock market : long memory, fractality and regime switching," Economics Working Papers 2006,13, Christian-Albrechts-University of Kiel, Department of Economics. [Downloadable!]
    Other versions:
  8. Trino-Manuel Ñíguez, 2003. "Volatility And Var Forecasting For The Ibex-35 Stock-Return Index Using Figarch-Type Processes And Different Evaluation Criteria," Working Papers. Serie AD 2003-33, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
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