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Author: | Martens, M. Chang, Y-C. Taylor, S.J. |
Title: | A comparison of seasonal adjustment methods when forecasting intraday volatility |
Journal: | Journal of Financial Research
2002 : SUMMER, VOL. 25:2, p. 283-299 |
Index terms: | DEUTSCHMARKS DOLLARS FORECASTING VOLATILITY |
Freeterms: | SEASONAL ADJUSTMENT YENS |
Language: | eng |
Abstract: | In this article the authors compare volatility forecasts over a thirty-minute horizon for the spot exchange rates of the Deutsche mark and the Japanese yen against the U.S. dollar. Explicitly modeling the intraday seasonal pattern improves the out-of-sample forecasting performance. |
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