Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data

Author(s)
Lai, Ye-Hsing
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Advisor
Bin Zhou.
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Description
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).
 
Date issued
1993
URI
http://hdl.handle.net/1721.1/12636
Department
Sloan School of Management
Publisher
Massachusetts Institute of Technology
Keywords
Sloan School of Management
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