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Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models
Forecasting Currency Volatility: A Comparison of Implied Volatilities and AR(FI)MA Models
2002
Shiu-yan Eddie Pong
Mark B. Shackleton
Stephen L. Taylor
Xinzhong Xu
Keywords:
Econometrics
Economics
Volatility (finance)
Currency
Implied volatility
Correction
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