FX volatility forecasts and the informational content of market data for volatility
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Keith Pilbeam & Kjell Langeland, 2015. "Forecasting exchange rate volatility: GARCH models versus implied volatility forecasts," International Economics and Economic Policy, Springer, vol. 12(1), pages 127-142, March.
- Szabolcs Blazsek & Anna Downarowicz, 2013. "Forecasting hedge fund volatility: a Markov regime-switching approach," The European Journal of Finance, Taylor & Francis Journals, vol. 19(4), pages 243-275, April.
- Raunig, Burkhard, 2008. "The predictability of exchange rate volatility," Economics Letters, Elsevier, vol. 98(2), pages 220-228, February.
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Keywordsforecasting accuracy; implied volatility; model combination; volatility models;
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