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| Author: | Campa, J. M. Chang, P. H. K. |
| Title: | The forecasting ability of correlations implied in foreign exchange options. |
| Journal: | Journal of International Money and Finance
1998 : DEC, VOL. 17:6, p. 855-880 |
| Index terms: | Foreign exchange market Foreign investment Exchange rates Forecasting techniques |
| Language: | eng |
| Abstract: | The authors evaluate the forecasting accuracy of correlations derived from implied volatilities in dollar-mark, dollar-yen, and mark-yen options 1989-1995. Correlation is compared against three alternative forecasts: historical, RiskMatrics' exponentially-weighted moving average correlation, and correlation estimated using a bivariate GARCH model. |
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