HELP: Good source of data for academic research in FX volatility

Srlle · December 13th, 2005, 1:26 pm

Hi there,I've just started my Ph.D. studies and I am trying to start a research in FX volatility modelling. I would be very grateful if any of you could reccomend a good source of historical data, clean financial series, esp. implied volatilities of currency exchange rates. Thanks,srdjan

DominicConnor · December 16th, 2005, 11:11 pm

Assuming you are at at least a medium sized university, then you should have Bloomberg (probably in the econ library)There will probably also be a DataStream screen (one it's very expensive), but is better for what you want.Talk nicely to your librarian.

Srlle · December 17th, 2005, 12:13 pm

Hey, thanks for your reply.I have heard about Bloomberg, but didn't know it's widely available at univ. libraries in the US. Thing is, I'm a student at the Univ. of Zagreb, Croatia. I doubt our uni has a subscription to Bloomberg. But the information you have given me is a good starting point nevertheless. Thanks. If you have any other ideas, feel free

htmlballsup · December 20th, 2005, 12:29 pm

Go to the BBA web sitehttp://www.bba.org.uk/bba/jsp/polopoly.jsp?d=141&a=627They also have libor rates (for constructing forwards)Good luck....

Srlle · December 20th, 2005, 12:33 pm

I've checked it out. Good stuff. Thanks!