Della Corte, Pasquale; Sarno, Lucio; Tsiakas, Ilias - C.E.P.R. Discussion Papers - 2010
This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We … formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the … extensively researched hypothesis of unbiasedness in forward exchange rates. Using a new data set of spot implied volatility …