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Daily FX Volatility Forecasts: Can the GARCH(1,1) Model be Beaten using High-Frequency Data? / David G Mcmillan, Alan Speight

Journal of Forecasting, Volume: 31, Issue: 4, Pages: 330 - 343

Swansea University Author: Alan Speight

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DOI (Published version): 10.1002/for.1222

Published in: Journal of Forecasting
ISSN: 0277-6693
Published: Wiley 2012
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URI: https://cronfa.swan.ac.uk/Record/cronfa5136
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College: School of Management
Issue: 4
Start Page: 330
End Page: 343