Spot and forward volatility in foreign exchange
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- Sarno, Lucio & Della Corte, Pasquale & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers 7893, C.E.P.R. Discussion Papers.
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More about this item
Keywords
Implied volatility Foreign exchange Forward volatility agreement Unbiasedness Volatility speculation;JEL classification:
- F31 - International Economics - - International Finance - - - Foreign Exchange
- F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Statistics
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