Predicting currency return volatility

Standard deviations and elasticity of variance coefficients implied in currency option prices are employed to predict subsequent currency return volatility. Despite documented variance non-stationarity, strong predictive relationships are found. The predictive accuracies of standard deviations and e...

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Veröffentlicht in:	Journal of banking & finance 1989-12, Vol.13 (6), p.839-851
Hauptverfasser:	Scott, Elton, Tucker, Alan L.
Format:	Artikel
Sprache:	eng
Schlagworte:	Currency Currency market Forecasting Mathematical models Put & call options Regression analysis Return on investment Securities prices Standard deviation Theory Volatility
Online-Zugang:	Volltext
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