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Author (up) Reus, L.; Carrasco, J.A.; Pincheira, P. doi  openurl
  Title Do it with a smile: Forecasting volatility with currency options Type Journal Article
  Year 2020 Publication Finance Research Letters Abbreviated Journal Financ. Res. Lett.  
  Volume 34 Issue Pages 10 pp  
  Keywords Volatility forecast; Volatility smile; Latin American markets; Currency options  
  Abstract We show that traditional measures of curvature and symmetry of the “smiles” improve volatility predictions in forex markets. We consider post crisis data at a daily basis for seven currencies vis a vis the American dollar: The British pound, the Euro, the Australian dollar, the Japanese yen, the Brazilian real and the Mexican and Chilean peso. While our results are robust to the option currency and maturity, they are particularly strong for latin-American currencies and options with longer maturity. We find that the simultaneous inclusion of skewness and kurtosis to a forecasting model significantly improves its predictive accuracy.  
  Address [Reus, Lorenzo; Carrasco, Jose A.] Univ Adolfo Ibanez, Fac Ingn & Ciencias, Santiago 2640, Chile, Email: lorenzo.reus@uai.cl;  
  Corporate Author Thesis  
  Publisher Academic Press Inc Elsevier Science Place of Publication Editor  
  Language English Summary Language Original Title  
  Series Editor Series Title Abbreviated Series Title  
  Series Volume Series Issue Edition  
  ISSN 1544-6123 ISBN Medium  
  Area Expedition Conference  
  Notes WOS:000551346400022 Approved no  
  Call Number UAI @ eduardo.moreno @ Serial 1209  
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