Implied volatility term structure and exchange rate predictability
José Renato Haas Ornelas, Roberto Baltieri Mauad
| Year of publication: |
2019
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|---|---|
| Authors: | Ornelas, José Renato Haas ; Mauad, Roberto Baltieri |
| Published in: |
International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 35.2019, 4, p. 1800-1813
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| Subject: | Exchange rate predictability | Implied volatility | Risk premium | Volatility slope | Volatility term structure | Volatilität | Volatility | Wechselkurs | Exchange rate | Zinsstruktur | Yield curve | Risikoprämie | Prognoseverfahren | Forecasting model | Theorie | Theory | Schätzung | Estimation | Devisenoption | Currency option | US-Dollar | US dollar |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Erratum enthalten in: International journal of forecasting, Volume 37, issue 3 (July/September 2021), Seite 1312-1313 |
| Other identifiers: | 10.1016/j.ijforecast.2019.03.016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012305531