The Forecasting Ability of Correlations Implied in Foreign Exchange Options
收藏NBER1997-03-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w5974
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资源简介：
This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and dollar-yen, implied correlation is compared against three
提供机构：
美国国家经济研究局
创建时间：
1997-03-01
