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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...
Persistent link: https://www.econbiz.de/10011604412
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The accuracy of density forecasts from foreign exchange options
Christoffersen, Peter F.; Mazzotta, Stefano - In: Journal of financial econometrics : official journal of … 3 (2005) 4, pp. 578-605
Persistent link: https://www.econbiz.de/10003154312
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The Informational Content of Over-the-Counter Currency Options
Christoffersen, Peter - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...
Persistent link: https://www.econbiz.de/10012738502
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The Information Content of Over-the-Counter Currency Options
Christoffersen, Peter - 2005
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...
Persistent link: https://www.econbiz.de/10012785183
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The Accuracy of Density Forecasts from Foreign Exchange Options
Christoffersen, Peter - 2010
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this article is to systematically assess the quality of option-based volatility and density forecasts. We use a unique dataset consisting of...
Persistent link: https://www.econbiz.de/10012761965
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The informational content of over-the-counter currency options
Christoffersen, Peter F.; Mazzotta, Stefano - 2004
Persistent link: https://www.econbiz.de/10013434708
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The Informational Content of Over-the-Counter Currency Options
Christoffersen, Peter; Mazzotta, Stefano - Centre Interuniversitaire de Recherche en Analyse des … - 2004
Policy makers and market participants often consider the forward-looking information in currency option valuations when making assessments about future developments in foreign exchange rates. Option implied volatilities can be used as forecasts of realized volatility and interval and density...
Persistent link: https://www.econbiz.de/10005100923
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The Accuracy of Density Forecasts from Foreign Exchange Options
Christoffersen, Peter; Mazzotta, Stefano - In: Journal of Financial Econometrics 3 (2005) 4, pp. 578-605
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this article is to systematically assess the quality of option-based volatility and density forecasts. We use a unique dataset consisting of...
Persistent link: https://www.econbiz.de/10005746388
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The informational content of over-the-counter currency options
Christoffersen, Peter; Mazzotta, Stefano - European Central Bank - 2004
Financial decision makers often consider the information in currency option valuations when making assessments about future exchange rates. The purpose of this paper is to systematically assess the quality of option based volatility, interval and density forecasts. We use a unique dataset...
Persistent link: https://www.econbiz.de/10005227533
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How important is asymmetric covariance for the risk premium of international assets?
Mazzotta, Stefano - In: Journal of banking & finance 32 (2008) 8, pp. 1636-1647
Persistent link: https://www.econbiz.de/10003749397