risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include …

risk management decisions. Correlation forecasts are affected by model uncertainty, the sources of which can include …

improves the empirical fit of equity correlations in the US and correlation forecasts at long horizons. …

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over … correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns … correlations. We then apply the correlation forecasts to two policyrelevant topics, to produce scenario analyses for the euro …

We compare option-implied correlation forecasts from a dataset consisting of over 10 years of daily data on over … correlation forecasts. We find that while the predictive power of implied correlation is not always superior to that of returns … correlations. We then apply the correlation forecasts to two policyrelevant topics, to produce scenario analyses for the euro …