Forecasting daily volatility of foreign exchange markets : a comparison of the ARCH model and a new model using high frequency data
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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).
DepartmentSloan School of Management
Massachusetts Institute of Technology
Sloan School of Management