Similar Search Results

Speculation and Hedging in the Currency Futures Markets : Are They Informative to the Spot Exchange Rates

Tornell, Aaron - 2013

This paper presents an empirical analysis investigating the relationship between the futures trading activities of speculators and hedgers and the potential movements of major spot exchange rates. A set of trader position measures are employed as regression predictors, including the level and...

Persistent link: https://www.econbiz.de/10013086080

The forecasting ability of correlations implied in foreign exchange options

Campa, José Manuel; Chang, P. H. Kevin - 1997

Persistent link: https://www.econbiz.de/10000623860

Is there a premium for currencies correlated with volatility? : Some evidence from risk reversals

Pagès, Henri - 1996

Persistent link: https://www.econbiz.de/10000928028

The forecasting ability of correlations implied in foreign exchange options

Campa, José Manuel; Chang, P. H. Kevin - In: Journal of international money and finance 17 (1998) 6, pp. 855-880

Persistent link: https://www.econbiz.de/10001381741

Pouvoir prédictif de la volatilité implicite dans le prix des options de change

Rzepkowski, Bronka - In: Economie & prévision : EP (2001) 2, pp. 71-97

Persistent link: https://www.econbiz.de/10001674730

Pouvoir prédictif de la volatilité implicite dans le prix des options de change

Rzepkowski, Bronka - 2001

Persistent link: https://www.econbiz.de/10001563631

The relationship between futures trading activity and exchange rate volatility, revisited

Bhargava, Vivek; Malhotra, Davinder Kumar - In: Journal of multinational financial management 17 (2007) 2, pp. 95-111

Persistent link: https://www.econbiz.de/10003441938

Currency futures and currency crises

Röthig, Andreas (contributor) - 2004

, Canada, Japan, Korea and Switzerland in terms of the US dollar. The empirical results indicate that there is a positive … relationship between currency futures trading activity and spot volatility. Moreover, in the case of four out of the total of five … currencies discussed in this paper, futures trading activity adds significantly to spot volatility. …

Persistent link: https://www.econbiz.de/10002509928

An empirical investigation of the term structure of implied volatilities in currency options

Fouda, Henri; Kryzanowski, Lawrence; To, Minh-chau - 1995

Persistent link: https://www.econbiz.de/10000927019

Testing the forward volatility unbiasedness hypothesis in exchange rates under long-range dependence

Pérez Rodríguez, Jorge V.; Andrada Félix, Julián; … - In: The North American journal of economics and finance : a … 57 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10012822266