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The forecasting ability of correlations implied in foreign exchange options

Citations

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Cited by:

  1. Jose A. Lopez & Christian Walter, 1997. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper 9730, Federal Reserve Bank of New York.
  2. Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009. "Cross-dynamics of volatility term structures implied by foreign exchange options," Journal of Economics and Business, Elsevier, vol. 61(5), pages 355-375, September.
  3. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2010. "Predictable dynamics in implied volatility surfaces from OTC currency options," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1175-1188, June.
  4. Carr, Peter & Wu, Liuren, 2007. "Stochastic skew in currency options," Journal of Financial Economics, Elsevier, vol. 86(1), pages 213-247, October.
  5. Christopher J. Neely, 2005. "An analysis of recent studies of the effect of foreign exchange intervention," Review, Federal Reserve Bank of St. Louis, vol. 87(Nov), pages 685-718.
  6. Bollen, Nicolas P. B & Rasiel, Emma, 2003. "The performance of alternative valuation models in the OTC currency options market," Journal of International Money and Finance, Elsevier, vol. 22(1), pages 33-64, February.
  7. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
  8. Jonathan Shomroni, 2022. "FX correlation trading: theory and practice," SN Business & Economics, Springer, vol. 2(9), pages 1-28, September.
  9. Alessandro Beber & Luca Erzegovesi, 1999. "Distribuzioni di probabilità implicite nei prezzi delle opzioni," Alea Tech Reports 008, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
  10. Basnarkov, Lasko & Stojkoski, Viktor & Utkovski, Zoran & Kocarev, Ljupco, 2019. "Correlation patterns in foreign exchange markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 1026-1037.
  11. Chamizo, Álvaro & Novales, Alfonso, 2020. "Looking through systemic credit risk: Determinants, stress testing and market value," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 64(C).
  12. Härdle Wolfgang Karl & Silyakova Elena, 2016. "Implied basket correlation dynamics," Statistics & Risk Modeling, De Gruyter, vol. 33(1-2), pages 1-20, September.
  13. Salmon, Mark & Schleicher, Christoph & Hurd, Matthew, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers 5114, C.E.P.R. Discussion Papers.
  14. Miguel A. Ferreira, 2005. "Evaluating Interest Rate Covariance Models Within a Value-at-Risk Framework," Journal of Financial Econometrics, Oxford University Press, vol. 3(1), pages 126-168.
  15. Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2011. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10, University of Cologne, Centre for Financial Research (CFR).
  16. Sven Husmann & Andreas Stephan, 2007. "On estimating an asset's implicit beta," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(10), pages 961-979, October.
  17. Marcos Escobar & Sebastian Ferrando & Alexey Rubtsov, 2017. "Optimal investment under multi-factor stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 17(2), pages 241-260, February.
  18. Cotter, John & Longin, Francois, 2006. "Implied correlation from VaR," MPRA Paper 3506, University Library of Munich, Germany.
  19. Hakim, Abdul & McAleer, Michael, 2009. "Forecasting conditional correlations in stock, bond and foreign exchange markets," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2830-2846.
  20. Cohen, Ruben D, 2000. "The long-run behavior of the S&P Composite Price Index and its risk premium," MPRA Paper 3192, University Library of Munich, Germany.
  21. Chang, Kook-Hyun & Kim, Myung-Jig, 2001. "Jumps and time-varying correlations in daily foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(5), pages 611-637, October.
  22. Chalamandaris, Georgios & Tsekrekos, Andrianos E., 2011. "How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options," Journal of International Money and Finance, Elsevier, vol. 30(4), pages 623-640, June.
  23. Maltritz, Dominik & Eichler, Stefan, 2010. "Currency crisis prediction using ADR market data: An options-based approach," International Journal of Forecasting, Elsevier, vol. 26(4), pages 858-884, October.
  24. Misik, Sándor, 2023. "Korrelációbecslés a forintpiacon [Correlation forecasting on the Hungarian forint market]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(7), pages 772-794.
  25. Leonidas Tsiaras, 2010. "Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns," CREATES Research Papers 2010-35, Department of Economics and Business Economics, Aarhus University.
  26. Kunkler, Michael, 2022. "Implied betas for the Frankel–Wei regression framework," Economics Letters, Elsevier, vol. 218(C).
  27. Bisht Deepak & Laha, A. K., 2017. "Assessment of Density Forecast for Energy Commodities in Post-Financialization Era," IIMA Working Papers WP 2017-07-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
  28. Yu, Wayne W. & Lui, Evans C.K. & Wang, Jacqueline W., 2010. "The predictive power of the implied volatility of options traded OTC and on exchanges," Journal of Banking & Finance, Elsevier, vol. 34(1), pages 1-11, January.
  29. Härdle, Wolfgang Karl & Silyakova, Elena, 2012. "Implied basket correlation dynamics," SFB 649 Discussion Papers 2012-066, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  30. Yuta Hibiki & Takuya Kiriu & Norio Hibiki, 2024. "Optimal Currency Portfolio with Implied Return Distribution in the Mean-Variance Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(2), pages 251-283, June.
  31. Sentana, Enrique, 2018. "Volatility, diversification and contagion," CEPR Discussion Papers 12824, C.E.P.R. Discussion Papers.
  32. Bernardino Adao & Jorge Barros Luis, 2000. "Interest rate spreads implicit in options: Spain and Italy against Germany," Applied Financial Economics, Taylor & Francis Journals, vol. 10(2), pages 155-161.
  33. Nikkinen, Jussi & Vähämaa, Sami, 2009. "Central bank interventions and implied exchange rate correlations," Journal of Empirical Finance, Elsevier, vol. 16(5), pages 862-873, December.
  34. Markopoulou, Chryssa & Skintzi, Vasiliki & Refenes, Apostolos, 2016. "On the predictability of model-free implied correlation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 527-547.
  35. Marcello Pericoli, 2005. "Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area," Temi di discussione (Economic working papers) 545, Bank of Italy, Economic Research and International Relations Area.
  36. Mark T. Leung & An-Sing Chen, 2005. "Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(6), pages 403-420.
  37. Allan M. Malz, 2013. "Risk-neutral systemic risk indicators," Staff Reports 607, Federal Reserve Bank of New York.
  38. Alfonso Novales & Alvaro Chamizo, 2019. "Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components," JRFM, MDPI, vol. 12(3), pages 1-33, August.
  39. Brian H. Boyer & Michael S. Gibson & Mico Loretan, 1997. "Pitfalls in tests for changes in correlations," International Finance Discussion Papers 597, Board of Governors of the Federal Reserve System (U.S.).
  40. David T. L. Siu & John Okunev, 2009. "Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(6), pages 465-486.
  41. Bernardino Adão & Jorge Barros Luís & Nuno Cassola, 1998. "Information on expectations about the escudo convergence from the volatility implied in currency options," Economic Bulletin and Financial Stability Report Articles and Banco de Portugal Economic Studies, Banco de Portugal, Economics and Research Department.
  42. Alaganar, V.T. & Bhar, Ramaprasad, 2007. "Empirical properties of currency risk in country index portfolios," The Quarterly Review of Economics and Finance, Elsevier, vol. 47(1), pages 159-174, March.
  43. repec:hum:wpaper:sfb649dp2012-066 is not listed on IDEAS
  44. Brian H. Boyer & Michael S. Gibson, 1997. "Evaluating forecasts of correlation using option pricing," International Finance Discussion Papers 600, Board of Governors of the Federal Reserve System (U.S.).
  45. Chong, James, 2005. "The forecasting abilities of implied and econometric variance-covariance models across financial measures," Journal of Economics and Business, Elsevier, vol. 57(5), pages 463-490.
  46. Benjamin Miranda Tabak & Sandro Canesso de Andrade & Eui Jung Chang, 2004. "Tracking Brazilian Exchange Rate Volatility," Econometric Society 2004 Far Eastern Meetings 487, Econometric Society.
  47. Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc.
  48. Christodoulakis, George A., 2007. "Common volatility and correlation clustering in asset returns," European Journal of Operational Research, Elsevier, vol. 182(3), pages 1263-1284, November.
  49. Eui Jung Chang & Benjamin Miranda Tabak, 2007. "Are implied volatilities more informative? The Brazilian real exchange rate case," Applied Financial Economics, Taylor & Francis Journals, vol. 17(7), pages 569-576.
  50. M. Keith Chen & Jonathan E. Ingersoll, Jr. & Edward H. Kaplan, 2008. "Modeling a Presidential Prediction Market," Management Science, INFORMS, vol. 54(8), pages 1381-1394, August.
  51. Husmann, Sven, 2005. "On Estimating an Asset's Implicit Beta," Discussion Papers 238, European University Viadrina Frankfurt (Oder), Department of Business Administration and Economics.
  52. Wolfgang Karl Hardle & Elena Silyakova, 2020. "Implied Basket Correlation Dynamics," Papers 2009.09770, arXiv.org.
  53. Ferreira, Miguel A., 2005. "Forecasting the comovements of spot interest rates," Journal of International Money and Finance, Elsevier, vol. 24(5), pages 766-792, September.
  54. Hui, Cho-Hoi & Lo, Chi-Fai & Lau, Chun-Sing, 2013. "Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis," Journal of Banking & Finance, Elsevier, vol. 37(9), pages 3694-3703.
  55. James Chong, 2004. "Options trading profits from correlation forecasts," Applied Financial Economics, Taylor & Francis Journals, vol. 14(15), pages 1075-1085.
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