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

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, 10.1080/1351847X.2023.2189020

cited authors

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

sustainable development goals

SDG 08: Decent Work and Economic Growth

authors

publication date

March 16, 2023

webpage

https://www.webofscience.com/api/gateway?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=WOS:000954095200001&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=e451fd656366bf1ec5554941920a9ccb

published in

EUROPEAN JOURNAL OF FINANCE Journal

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)

https://doi.org/10.1080/1351847x.2023.2189020

publisher

ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD

FIU Discovery