Jorion is from the Graduate School of Management, University of California at Irvine. Thanks are due to David Bates, Hendrik Bessembinder, Michael Brennan, Stephen Figlewski, Steven Heston, two referees, and seminar participants at UC-Irvine, UCLA, Georgetown University, the Université Libre de Bruxelles, the University of Maryland, the University of Wisconsin-Madison, and the Cornell conference on derivatives for useful comments. I am also grateful to the Institute for Quantitative Research in Finance for financial support.
Predicting Volatility in the Foreign Exchange Market
Version of Record online: 30 APR 2012
© 1995 the American Finance Association
The Journal of Finance
Volume 50, Issue 2, pages 507–528, June 1995
How to Cite
JORION, P. (1995), Predicting Volatility in the Foreign Exchange Market. The Journal of Finance, 50: 507–528. doi: 10.1111/j.1540-6261.1995.tb04793.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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