Do it with a smile : forecasting volatility with currency options
Lorenzo Reus, José A. Carrasco, Pablo Pincheira
| Year of publication: |
2020
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|---|---|
| Authors: | Reus, Lorenzo ; Carrasco, José A. ; Pincheira, Pablo |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 34.2020, p. 1-10
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| Subject: | Currency options | Latin American markets | Volatility forecast | Volatility smile | Volatilität | Volatility | Wechselkurs | Exchange rate | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model | Devisenoption | Currency option | Währungsderivat | Currency derivative | Lateinamerika | Latin America | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2019.07.024 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012436844