Forecasting exchange rate correlations using options and high-frequency data
Year of publication: |
2011
|
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Authors: | Moldenhauer, Felix |
Subject: | Hochfrequenzdaten | Währungsrisiko | Exchange rate risk | Prognoseverfahren | Forecasting model | Devisenmarkt | Foreign exchange market | Optionspreistheorie | Option pricing theory | Theorie | Theory | Welt | World | Wechselkurstheorie | Prognosemodell |
Description of contents: | Table of Contents [gbv.de] |
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Can short-term foreign exchange volatility be predicted by the global hazard index?
Brousseau, Vincent, (2001)
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Sommer, Daniel, (1996)
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Frey, Rüdiger, (1996)
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Forecasting exchange rate correlations using options and high-frequency data
Moldenhauer, Felix, (2011)
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Backtesting Expected Shortfall : A Simple Recipe?
Moldenhauer, Felix, (2018)
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Backtesting expected shortfall : a simple recipe?
Moldenhauer, Felix, (2019)
- More ...