Dynamics of foreign exchange implied volatility and implied correlation surfaces-Reference-Cited by-同舟云学术

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Dynamics of foreign exchange implied volatility and implied correlation surfaces

Published:2019-02-21 Issue:8 Volume:19 Page:1293-1320
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Beer S.¹,Fink H.²³

Affiliation:

1. Institute of Insurance Economics, University of St. Gallen, Tannenstrasse 19, CH-9000 St. Gallen, Switzerland

2. Department of Computer Science and Mathematics, Munich University of Applied Sciences, Lothstraße 64, D-80335 Munich, Germany

3. Center for Quantitative Risk Analysis, Department of Statistics, Ludwig-Maximilians-University Munich, Akademiestraße 1/I, D-80799 Munich, Germany

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2019.1575517

Reference45 articles.

1. Predicting exchange rate cycles utilizing risk factors

2. Volatility dynamics for the S&P 500: Further evidence from non-affine, multi-factor jump diffusions

3. Foreign exchange predictability and the carry trade: A decomposition approach

4. Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests

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2. The information content of currency option-implied volatilities: implications for ex-ante forecasts of global equity correlations;The European Journal of Finance;2023-03-21

3. Implied betas for the Frankel–Wei regression framework;Economics Letters;2022-09

4. An Open Innovation Intraday Implied Volatility for Pricing Australian Dollar Options;Journal of Open Innovation: Technology, Market, and Complexity;2021-01-09

5. A span of continuous trades and liquidity dynamics in foreign exchange markets;International Journal of Finance & Economics;2020-12-30

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