Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data
Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1993.
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| Format: | Thesis |
| Language: | eng |
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Massachusetts Institute of Technology
2005
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| Online Access: | http://hdl.handle.net/1721.1/12636 |
| _version_ | 1811087243436097536 |
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| author | Lai, Ye-Hsing |
| author2 | Bin Zhou. |
| author_facet | Bin Zhou. Lai, Ye-Hsing |
| author_sort | Lai, Ye-Hsing |
| collection | MIT |
| description | Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1993. |
| first_indexed | 2024-09-23T13:42:21Z |
| format | Thesis |
| id | mit-1721.1/12636 |
| institution | Massachusetts Institute of Technology |
| language | eng |
| last_indexed | 2024-09-23T13:42:21Z |
| publishDate | 2005 |
| publisher | Massachusetts Institute of Technology |
| record_format | dspace |
| spelling | mit-1721.1/126362019-04-12T12:16:08Z Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data Lai, Ye-Hsing Bin Zhou. Sloan School of Management Sloan School of Management Thesis (M.S.)--Massachusetts Institute of Technology, Sloan School of Management, 1993. Title as it appears in the Feb. 1993 MIT Graduate List: Daily volatility estimation of foreign exchange markets. Includes bibliographical references (leaf 33). by Ye-Hsiang Lai. M.S. 2005-08-15T21:39:46Z 2005-08-15T21:39:46Z 1993 1993 Thesis http://hdl.handle.net/1721.1/12636 28359441 eng M.I.T. theses are protected by copyright. They may be viewed from this source for any purpose, but reproduction or distribution in any format is prohibited without written permission. See provided URL for inquiries about permission. http://dspace.mit.edu/handle/1721.1/7582 33 leaves 2035405 bytes 2035166 bytes application/pdf application/pdf application/pdf Massachusetts Institute of Technology |
| spellingShingle | Sloan School of Management Lai, Ye-Hsing Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data |
| title | Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data |
| title_full | Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data |
| title_fullStr | Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data |
| title_full_unstemmed | Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data |
| title_short | Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data |
| title_sort | forecasting daily volatility of foreign exchange markets a comparison of the arch model and a new model using high frequency data |
| topic | Sloan School of Management |
| url | http://hdl.handle.net/1721.1/12636 |
| work_keys_str_mv | AT laiyehsing forecastingdailyvolatilityofforeignexchangemarketsacomparisonofthearchmodelandanewmodelusinghighfrequencydata |