-of-sample predictive power of indicators. The forecasting results suggest that models based on FX options are inferior to the random walk … in terms of the forecasting error, confirming a stylized fact about the short-term forecasting of exchange rates. Yet, we … change of the exchange rate. -- Options ; implied volatility ; risk-neutral density ; exchange rate forecasting ; Bayesian …

. Identifying the impact of this information on stock markets and forecasting stock returns and volatilities has become a much more …