Modeling realized volatility of the EUR/USD exchange rate : does implied volatility really matter?
Tomáš Plíhal, Štefan Lyócsa
| Year of publication: |
2021
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|---|---|
| Authors: | Plíhal, Tomáš ; Lyócsa, Štefan |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 71.2021, p. 811-829
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| Subject: | Forecasting | High-frequency data | Implied volatility | Options | Realized volatility | Volatilität | Volatility | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Optionspreistheorie | Option pricing theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.iref.2020.10.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012630769