Modelling and Forecasting Exchange Rate Volatility using High-frequency Data－Based on the US dollar

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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...

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Bibliographic Details
Main Author:	Chang, Kaiwen
Format:	Dissertation (University of Nottingham only)
Language:	English
Published:	2018
Online Access:	https://eprints.nottingham.ac.uk/54230/

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