Option-implied volatility spillover indices for FX risk factors
Year of publication: |
August 2017
|
---|---|
Authors: | Grobys, Klaus ; Heinonen, Jari-Pekka |
Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 157.2017, p. 83-87
|
Subject: | Volatility spillovers | Currency markets | G10 currencies | Option-implied volatility | Risk factors | Expected volatility | Expected portfolio volatility | Volatilität | Volatility | Spillover-Effekt | Spillover effect | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | Wechselkurs | Exchange rate | Devisenmarkt | Foreign exchange market | Risikoprämie | Risk premium | Schätzung | Estimation |
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