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Persistent link: https://www.econbiz.de/10005717225
This paper examines the performance of implied correlations in forecasting subsequently realized correlations between exchange rates. Implied correlations are derived from sets of implied volatilities on the three exchange rates in a currency trio. We compare the forecasting performance of the...
Persistent link: https://www.econbiz.de/10005717233
Persistent link: https://www.econbiz.de/10005512229