The predictability of exchange rate volatility

The model-free test procedure used in this paper suggests that exchange rate volatility is hard to predict more than 1 month ahead with time series methods. Moreover, predictability declines rather quickly with horizon.

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Bibliographic details
Volume: 98
Main Author: Raunig, Burkhard
Format: Journal Article
Language: English
Place of publication: LAUSANNE Elsevier B.V 2008
ELSEVIER SCIENCE SA
Elsevier
published in: Economics letters Vol. 98; no. 2; pp. 220 - 228
Data of publication: 2008
ISSN: 0165-1765
1873-7374
EISSN: 1873-7374
Discipline: Economics
Series: Economics Letters
Subjects:
Online Access: available in Bonn?
Database: Web of Knowledge
Social Sciences Citation Index
Web of Science
Web of Science - Social Sciences Citation Index - 2008
RePEc IDEAS
RePEc
CrossRef
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