The information content of currency option-implied volatilities: implications for ex-ante forecasts of global equity correlations Article

Figueiredo, Antonio, Parhizgari, Ali M, Dupoyet, Brice. (2023). The information content of currency option-implied volatilities: implications for ex-ante forecasts of global equity correlations . EUROPEAN JOURNAL OF FINANCE, 29(18), 2128-2153. 10.1080/1351847X.2023.2189020

cited authors

  • Figueiredo, Antonio; Parhizgari, Ali M; Dupoyet, Brice

sustainable development goals

publication date

  • December 12, 2023

published in

keywords

  • BOND
  • Business & Economics
  • Business, Finance
  • CONTAGION
  • CRISIS
  • Exchange rate
  • FINANCIAL-MARKETS
  • INDEXES
  • INTERDEPENDENCE
  • LINKAGES
  • MODEL
  • RETURNS
  • STOCK MARKETS
  • Social Sciences
  • correlations
  • implied volatility
  • international equity

Digital Object Identifier (DOI)

publisher

  • ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

start page

  • 2128

end page

  • 2153

volume

  • 29

issue

  • 18