Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns
Year of publication: |
2010-01-12
|
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Authors: | Tsiaras, Leonidas |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Exchange Rates | Implied Correlation | Copula | Forecasting | Options |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 4 pages long |
Classification: | F31 - Foreign Exchange ; F37 - International Finance Forecasting and Simulation ; G14 - Information and Market Efficiency; Event Studies ; G15 - International Financial Markets ; G17 - Financial Forecasting |
Source: |
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