Can Interval Data Improve Volatility Forecasts? Evidence from Foreign Exchange Markets
The research explores the use of interval-valued data in foreign exchange markets to enhance volatility forecasts, utilizing threshold autoregressive interval models for four major exchange rates.
Featured in No. 44 on 10 Apr 2024 · 5 days after release · 0 citations today
- Released
- 5 Apr 2024
- First featured
- No. 44 · 10 Apr 2024
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- SSRN 4785170
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