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Foreign exchange option and returns based correlation forecasts: evaluation and two applications

Castrén, Olli; Mazzotta, Stefano - 2005

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive...

Persistent link: https://www.econbiz.de/10011604493

Foreign exchange option and returns based correlation forecasts : evaluation and two applications

Castrén, Olli (contributor); Mazzotta, Stefano (contributor) - 2005

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive...

Persistent link: https://www.econbiz.de/10002817395

Foreign Exchange Option and Returns Based Correlation Forecasts : Evaluation and Two Applications

Castren, Olli; Mazzotta, Stefano - 2021

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over-the-counter (OTC) currency option prices to a set of return-based correlation measures and assess the relative quality of the correlation forecasts. We find that while the predictive...

Persistent link: https://www.econbiz.de/10013318724

Option valuation with long-run and short-run volatility components

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - In: Journal of financial economics 90 (2008) 3, pp. 272-297

Persistent link: https://www.econbiz.de/10003833351

Exploring time-varying jump intensities : evidence from S&P500 returns and options

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2008

Persistent link: https://www.econbiz.de/10003861266

Models for S&P500 dynamics : evidence from realized volatility, daily returns, and option prices

Christoffersen, Peter F.; Jacobs, Kris; Mimouni, Karim - 2008

Persistent link: https://www.econbiz.de/10003861277

Option valuation with conditional heteroskedasticity and non-normality

Christoffersen, Peter F. (contributor) - 2009

Persistent link: https://www.econbiz.de/10003865667

Option valuation with conditional heteroskedasticity and nonnormality

Christoffersen, Peter F.; Elkamhi, Redouane; Feunou, Bruno - In: The review of financial studies 23 (2010) 5, pp. 2139-2138

Persistent link: https://www.econbiz.de/10003969117

Time-varying jump intensities and fat tail dynamics : evidence from S&P500 returns and options

Christoffersen, Peter F.; Jacobs, Kris; Ornthanalai, … - 2010

Persistent link: https://www.econbiz.de/10009161203

Option anomalies and the pricing kernel

Christoffersen, Peter F.; Heston, Steven L.; Jacobs, Kris - 2010

Persistent link: https://www.econbiz.de/10009161205

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