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HELP: Good source of data for academic research in FX volatility
Posted: December 13th, 2005, 1:26 pm
by Srlle
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
HELP: Good source of data for academic research in FX volatility
Posted: December 16th, 2005, 11:11 pm
by DominicConnor
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.
HELP: Good source of data for academic research in FX volatility
Posted: December 17th, 2005, 12:13 pm
by Srlle
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
HELP: Good source of data for academic research in FX volatility
Posted: December 20th, 2005, 12:29 pm
by htmlballsup
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....
HELP: Good source of data for academic research in FX volatility
Posted: December 20th, 2005, 12:33 pm
by Srlle
I've checked it out. Good stuff. Thanks!