The Forecast Ability of Option-implied Densities from Emerging Markets Currencies
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Cited by:
- José Valentim Machado Vicente & Jaqueline Terra Moura Marins, 2019. "A Volatility Smile-Based Uncertainty Index," Working Papers Series 502, Central Bank of Brazil, Research Department.
- Haas Ornelas, José Renato, 2019.
"Expected currency returns and volatility risk premia,"
The North American Journal of Economics and Finance, Elsevier, vol. 49(C), pages 206-234.
- José Renato Haas Ornelas, 2017. "Expected Currency Returns and Volatility Risk Premia," Working Papers Series 454, Central Bank of Brazil, Research Department.
- Jaqueline Terra Moura Marins, 2020. "Option-Based Risk Aversion Indicators for Predicting Currency Crises in Emerging Markets," Working Papers Series 515, Central Bank of Brazil, Research Department.
- Jaqueline Terra Moura Marins, 2024. "Predictability of Exchange Rate Density Forecasts for Emerging Economies in the Short Run," Working Papers Series 588, Central Bank of Brazil, Research Department.
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