Forecasting exchange rate volatility using conditional variance models selected by information criteria

Combining exchange rate forecasts What is the optimal consensus measure

MacDonald, R.
Marsh, I.W.
Strathclyde Univ. in Glasgow, (United Kingdom). International Centre for Macroeconomic Modelling

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.36425(11) / BLDSC - British Libr...

Forecasting interest rates from financial futures markets

Holden, K.
Thompson, J
Liverpool Business School (United Kingdom)

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.8465(LBS-WP--15) / BLDSC - Brit...

The relative volatility of the markets in equities and index futures

Board, J.
Sutcliffe, C.
Southampton Univ. (United Kingdom). Dept. of Accounting and Management Science

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.88753(92-40) / BLDSC - British L...

Conditional exchange rate volatility, unit roots and international trade

Pattichis, C.
Nottingham Trent Univ. (United Kingdom). Dept. of Economics and Politics

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:6224.4508(no 2000/6) / BLDSC - Britis...

Forecasting Exchange Rate Volatility Using Conditional Variance Models Selected by Information Criteria

Simon P. Burke

January 1998

This paper uses appropriately modified information criteria to select models from the GARCH family, ...

Exchange rate forecasts and forecasting

Marsh, I.W.

January 1994

SIGLEAvailable from British Library Document Supply Centre-DSC:DX198957 / BLDSC - British Library Do...

Forecasting (Log) volatility models

Christodoulakis, G.A.
Satchell, S.E.
Exeter Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9295(98/14) / BLDSC - British Li...

Modelling currency volatility and returns

Biekpe, N.B.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN021479 / BLDSC - British Library D...

Selecting from amongst non-nested conditional variance models Information criteria and portfolio determination

Brooks, C.
Burke, S.
Reading Univ. (United Kingdom). Centre for Quantitative Economics and Computing

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9498(56) / BLDSC - British Libra...

'Hot markets', conditional volatility, and foreign exchange

Faruqee, H.
Redding, L.
Glasgow Univ. (United Kingdom)

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.930(9903) / BLDSC - British Libr...

Modelling volatility and news in East European black-market exchange rates

McMillan, D.G.
Speight, A.E.
University of Wales, Swansea (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.980895(UWS-DE-DP--96-14) / BLDSC...

Portfolio substitution and exchange rate volatility

Sibert, A.
Ha, J.
London Univ. (United Kingdom). Inst. for Financial Research

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.164(IFR-WP--27) / BLDSC - Britis...

Understanding bilateral exchange rate volatility

Devereux, M.B.
Lane, P.R.
Centre for Economic Policy Research, London (United Kingdom)

January 2002

Also available via the InternetAvailable from British Library Document Supply Centre-DSC:3597.9512(n...

Structural and time series models of exchange rate determination A comparison of their forecasting performance

Sarantis, N.
Stewart, C.
Kingston Univ., Kingston upon Thames (United Kingdom). Faculty of Human Sciences

January 1993

Available from British Library Document Supply Centre-DSC:3656.9748(93/3) / BLDSC - British Library ...

High frequency exchange rate forecasting

Fiess, N.
MacDonald, R.
Edinburgh Univ. (United Kingdom). Centre for Financial Markets Research

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.85185(no 8) / BLDSC - British Li...

Combining exchange rate forecasts What is the optimal consensus measure

MacDonald, R.
Marsh, I.W.
Strathclyde Univ. in Glasgow, (United Kingdom). International Centre for Macroeconomic Modelling

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.36425(11) / BLDSC - British Libr...

Forecasting interest rates from financial futures markets

Holden, K.
Thompson, J
Liverpool Business School (United Kingdom)

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.8465(LBS-WP--15) / BLDSC - Brit...

The relative volatility of the markets in equities and index futures

Board, J.
Sutcliffe, C.
Southampton Univ. (United Kingdom). Dept. of Accounting and Management Science

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.88753(92-40) / BLDSC - British L...

Conditional exchange rate volatility, unit roots and international trade

Pattichis, C.
Nottingham Trent Univ. (United Kingdom). Dept. of Economics and Politics

January 2000

SIGLEAvailable from British Library Document Supply Centre-DSC:6224.4508(no 2000/6) / BLDSC - Britis...

Forecasting Exchange Rate Volatility Using Conditional Variance Models Selected by Information Criteria

Simon P. Burke

January 1998

This paper uses appropriately modified information criteria to select models from the GARCH family, ...

Exchange rate forecasts and forecasting

Marsh, I.W.

January 1994

SIGLEAvailable from British Library Document Supply Centre-DSC:DX198957 / BLDSC - British Library Do...

Forecasting (Log) volatility models

Christodoulakis, G.A.
Satchell, S.E.
Exeter Univ. (United Kingdom). Dept. of Economics

January 1998

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9295(98/14) / BLDSC - British Li...

Modelling currency volatility and returns

Biekpe, N.B.

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:DXN021479 / BLDSC - British Library D...

Selecting from amongst non-nested conditional variance models Information criteria and portfolio determination

Brooks, C.
Burke, S.
Reading Univ. (United Kingdom). Centre for Quantitative Economics and Computing

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.9498(56) / BLDSC - British Libra...

'Hot markets', conditional volatility, and foreign exchange

Faruqee, H.
Redding, L.
Glasgow Univ. (United Kingdom)

January 1999

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.930(9903) / BLDSC - British Libr...

Modelling volatility and news in East European black-market exchange rates

McMillan, D.G.
Speight, A.E.
University of Wales, Swansea (United Kingdom). Dept. of Economics

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.980895(UWS-DE-DP--96-14) / BLDSC...

Portfolio substitution and exchange rate volatility

Sibert, A.
Ha, J.
London Univ. (United Kingdom). Inst. for Financial Research

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:9350.164(IFR-WP--27) / BLDSC - Britis...

Understanding bilateral exchange rate volatility

Devereux, M.B.
Lane, P.R.
Centre for Economic Policy Research, London (United Kingdom)

January 2002

Also available via the InternetAvailable from British Library Document Supply Centre-DSC:3597.9512(n...

Structural and time series models of exchange rate determination A comparison of their forecasting performance

Sarantis, N.
Stewart, C.
Kingston Univ., Kingston upon Thames (United Kingdom). Faculty of Human Sciences

January 1993

Available from British Library Document Supply Centre-DSC:3656.9748(93/3) / BLDSC - British Library ...

High frequency exchange rate forecasting

Fiess, N.
MacDonald, R.
Edinburgh Univ. (United Kingdom). Centre for Financial Markets Research

January 1996

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.85185(no 8) / BLDSC - British Li...

Combining exchange rate forecasts What is the optimal consensus measure

MacDonald, R.
Marsh, I.W.
Strathclyde Univ. in Glasgow, (United Kingdom). International Centre for Macroeconomic Modelling

January 1993

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.36425(11) / BLDSC - British Libr...

Forecasting interest rates from financial futures markets

Holden, K.
Thompson, J
Liverpool Business School (United Kingdom)

January 1992

SIGLEAvailable from British Library Document Supply Centre- DSC:9350.8465(LBS-WP--15) / BLDSC - Brit...

The relative volatility of the markets in equities and index futures

Board, J.
Sutcliffe, C.
Southampton Univ. (United Kingdom). Dept. of Accounting and Management Science

January 1992

SIGLEAvailable from British Library Document Supply Centre-DSC:3597.88753(92-40) / BLDSC - British L...

Forecasting exchange rate volatility using conditional variance models selected by information criteria

Abstract

Extracted data

Forecasting exchange rate volatility using conditional variance models selected by information criteria

Abstract

Extracted data

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