Forecasting Exchange Rate Volatility: The Superior Performance of Conditional Combinations of Time Series and Option Implied Forecasts

SSRN Electronic Journal
doi 10.2139/ssrn.1260095
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Elsevier BV

Related search

Intraday Volatility Forecasting From Implied Volatility

International Journal of Managerial Finance
AccountingManagementFinanceBusiness
2011English

Quantile Forecasts of Daily Exchange Rate Returns From Forecasts of Realized Volatility

Journal of Empirical Finance
EconomicsFinanceEconometrics
2008English

Modelling and Forecasting Exchange-Rate Volatility With ARCHtype Models

IOSR Journal of Mathematics
2016English

The 2008 UK Banking Crash: Evidence From Option Implied Volatility

2013English

Foreign Exchange, Fractional Cointegration and the Implied–realized Volatility Relation

Journal of Banking and Finance
EconomicsEconometricsFinance
2010English

The Relationship Between the Option-Implied Volatility Smile, Stock Returns and Heterogeneous Beliefs

International Review of Financial Analysis
EconomicsFinanceEconometrics
2015English

A CNN Based System for Predicting the Implied Volatility and Option Prices

2020English

Chartism and Exchange Rate Volatility

International Journal of Finance and Economics
AccountingEconomicsEconometricsFinance
2007English

Exchange Rate Volatility and First-Time Entry by Multinational Firms

SSRN Electronic Journal
2007English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2025 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy