Implied volatility term structure and exchange rate predictability

José Renato Haas Ornelas, Roberto Baltieri Mauad

Year of publication:	2019
Authors:	Ornelas, José Renato Haas ; Mauad, Roberto Baltieri
Published in:	International journal of forecasting. - Amsterdam [u.a.] : Elsevier, ISSN 0169-2070, ZDB-ID 283943-X. - Vol. 35.2019, 4, p. 1800-1813
Subject:	Exchange rate predictability \| Implied volatility \| Risk premium \| Volatility slope \| Volatility term structure \| Volatilität \| Volatility \| Wechselkurs \| Exchange rate \| Zinsstruktur \| Yield curve \| Risikoprämie \| Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Schätzung \| Estimation \| Devisenoption \| Currency option \| US-Dollar \| US dollar

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