Modelling and Forecasting Exchange Rate Volatility using High-frequency Data－Based on the US dollar
Abstract In this dissertation, we compare the performance of various models in predicting the USD dollar bilateral exchange rate volatility based on high-frequency data. Four exchange rates are selected, namely USD / EUR, USD / JPY, USD / GBP and USD / SEK. We also asses the forecasting performan...
| Main Author: | |
|---|---|
| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
| Published: |
2018
|
| Online Access: | https://eprints.nottingham.ac.uk/54230/ |