Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models

B-Tier

Journal: Journal of Banking & Finance

Year: 2004

Volume: 28

Issue: 10

Pages: 2541-2563

Authors (4)

Pong, Shiuyan (not in RePEc) Shackleton, Mark B. (Lancaster University) Taylor, Stephen J. (not in RePEc) Xu, Xinzhong (Peking University)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count