Option-implied volatility spillover indices for FX risk factors
Klaus Grobys, Jari-Pekka Heinonen
| Year of publication: |
August 2017
|
|---|---|
| Authors: | Grobys, Klaus ; Heinonen, Jari-Pekka |
| Published in: |
Economics letters. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1765, ZDB-ID 717210-2. - Vol. 157.2017, p. 83-87
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| Subject: | Volatility spillovers | Currency markets | G10 currencies | Option-implied volatility | Risk factors | Expected volatility | Expected portfolio volatility | Volatilität | Volatility | Spillover-Effekt | Spillover effect | Portfolio-Management | Portfolio selection | Devisenmarkt | Foreign exchange market | Wechselkurs | Exchange rate | Risikoprämie | Risk premium | Schätzung | Estimation | Risiko | Risk | Erwartungsbildung | Expectation formation | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econlet.2017.05.026 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011847318