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Remarks at the Center for the New Economy 2010 Economic Conference, San Juan, Puerto Rico.
Persistent link: https://www.econbiz.de/10010725042
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