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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. / 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.

Identiferoai:union.ndltd.org:MIT/oai:dspace.mit.edu:1721.1/12636
Date January 1993
CreatorsLai, Ye-Hsing
ContributorsBin Zhou., Sloan School of Management
PublisherMassachusetts Institute of Technology
Source SetsM.I.T. Theses and Dissertation
LanguageEnglish
Detected LanguageEnglish
TypeThesis
Format33 leaves, 2035405 bytes, 2035166 bytes, application/pdf, application/pdf, application/pdf
RightsM.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

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