The information content of currency option-implied volatilities : implications for ex-ante forecasts of global equity correlations
Antonio Figueiredo, Ali M. Parhizgari and Brice Dupoyet
| Year of publication: |
2023
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|---|---|
| Authors: | Figueiredo, Antonio ; Parhizgari, Ali M. ; Dupoyet, Brice |
| Published in: |
The European journal of finance. - London [u.a.] : Taylor & Francis Group, ISSN 1466-4364, ZDB-ID 2001610-4. - Vol. 29.2023, 18, p. 2128-2153
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| Subject: | correlations | Exchange rate | implied volatility | international equity | Volatilität | Volatility | Wechselkurs | Korrelation | Correlation | Welt | World | Prognoseverfahren | Forecasting model | Schätzung | Estimation | ARCH-Modell | ARCH model | Kapitaleinkommen | Capital income |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2023.2189020 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014418133