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The forecasting ability of correlations implied in foreign exchange options. (1998). Campa, Jose ; Chang, P. H. Kevin, .
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:17:y:1998:i:6:p:855-880.

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  1. Korrelációbecslés a forintpiacon. (2023). Misik, Sandor.
    In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences).
    RePEc:ksa:szemle:2132.

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  2. FX correlation trading: theory and practice. (2022). Shomroni, Jonathan.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:2:y:2022:i:9:d:10.1007_s43546-022-00304-4.

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  3. Implied betas for the Frankel–Wei regression framework. (2022). Kunkler, Michael.
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  4. Looking through systemic credit risk: Determinants, stress testing and market value. (2020). Novales, Alfonso ; Chamizo, Alvaro.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300939.

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  5. Implied Basket Correlation Dynamics. (2020). Silyakova, Elena ; Hardle, Wolfgang Karl.
    In: Papers.
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  6. Looking through systemic credit risk: determinants, stress testing and market value. (2019). Novales, Alfonso ; Chamizo, Alvaro.
    In: Documentos de Trabajo del ICAE.
    RePEc:ucm:doicae:1927.

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  7. Splitting Credit Risk into Systemic, Sectorial and Idiosyncratic Components. (2019). Novales, Alfonso ; Chamizo, Alvaro.
    In: JRFM.
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  8. Correlation patterns in foreign exchange markets. (2019). Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko ; Kocarev, Ljupco.
    In: Physica A: Statistical Mechanics and its Applications.
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  9. Correlation Patterns in Foreign Exchange Markets. (2019). Kocarev, Ljupco ; Utkovski, Zoran ; Stojkoski, Viktor ; Basnarkov, Lasko.
    In: Papers.
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  10. Volatility, diversification and contagion. (2018). Sentana, Enrique.
    In: CEPR Discussion Papers.
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  11. Volatility, Diversification and Contagion. (2018). Sentana, Enrique.
    In: Working Papers.
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  12. Optimal investment under multi-factor stochastic volatility. (2017). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian.
    In: Quantitative Finance.
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  13. Assessment of Density Forecast for Energy Commodities in Post-Financialization Era. (2017). Laha, A K ; Deepak, Bisht .
    In: IIMA Working Papers.
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  14. On the predictability of model-free implied correlation. (2016). Skintzi, Vasiliki ; Refenes, Apostolos ; Markopoulou, Chryssa .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:32:y:2016:i:2:p:527-547.

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  15. Implied basket correlation dynamics. (2016). Härdle, Wolfgang ; Karl, Hardle Wolfgang ; Elena, Silyakova .
    In: Statistics & Risk Modeling.
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  16. Risk-neutral systemic risk indicators. (2013). Malz, Allan M..
    In: Staff Reports.
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  17. Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis. (2013). Lo, Chi-Fai ; Lau, Chun-Sing ; Hui, Cho-Hoi.
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  18. Implied Basket Correlation Dynamics. (2012). Silyakova, Elena ; Härdle, Wolfgang.
    In: SFB 649 Discussion Papers.
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  19. Portfolio optimization using forward-looking information. (2011). Kempf, Alexander ; Saning, Sven ; Korn, Olaf .
    In: CFR Working Papers.
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  20. How important is the term structure in implied volatility surface modeling? Evidence from foreign exchange options. (2011). Tsekrekos, Andrianos ; Chalamandaris, George.
    In: Journal of International Money and Finance.
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  21. Predictable dynamics in implied volatility surfaces from OTC currency options. (2010). Tsekrekos, Andrianos ; Chalamandaris, George.
    In: Journal of Banking & Finance.
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  22. The predictive power of the implied volatility of options traded OTC and on exchanges. (2010). Wang, Jacqueline W. ; Yu, Wayne W. ; Lui, Evans C. K., .
    In: Journal of Banking & Finance.
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  23. Currency crisis prediction using ADR market data: An options-based approach. (2010). Eichler, Stefan ; Maltritz, Dominik .
    In: International Journal of Forecasting.
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  24. Dynamic Models of Exchange Rate Dependence Using Option Prices and Historical Returns. (2010). Tsiaras, Leonidas.
    In: CREATES Research Papers.
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  25. Forecasting exchange rate volatility: a multiple horizon comparison using historical, realized and implied volatility measures. (2009). Siu, David Tsz Lai ; David T. L. Siu, ; Okunev, John .
    In: Journal of Forecasting.
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  26. Forecasting conditional correlations in stock, bond and foreign exchange markets. (2009). McAleer, Michael ; Hakim, Abdul.
    In: Mathematics and Computers in Simulation (MATCOM).
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  27. Cross-dynamics of volatility term structures implied by foreign exchange options. (2009). Vähämaa, Sami ; Krylova, Elizaveta ; Vahamaa, Sami ; Nikkinen, Jussi .
    In: Journal of Economics and Business.
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  28. Central bank interventions and implied exchange rate correlations. (2009). Vähämaa, Sami ; Nikkinen, Jussi ; Vahamaa, Sami.
    In: Journal of Empirical Finance.
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  29. Distribuzioni di probabilità implicite nei prezzi delle opzioni.. (2008). Erzegovesi, Luca ; Beber, Alessandro.
    In: Alea Tech Reports.
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  30. Modeling a Presidential Prediction Market. (2008). Chen, Keith ; Kaplan, Edward H. ; Jonathan E. Ingersoll, Jr., .
    In: Management Science.
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  31. Are implied volatilities more informative? The Brazilian real exchange rate case. (2007). Tabak, Benjamin ; Chang, Eui Jung .
    In: Applied Financial Economics.
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  32. Empirical properties of currency risk in country index portfolios. (2007). Bhar, Ramaprasad ; Alaganar, V. T..
    In: The Quarterly Review of Economics and Finance.
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  33. Stochastic skew in currency options. (2007). Wu, Liuren ; Carr, Peter.
    In: Journal of Financial Economics.
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  34. Common volatility and correlation clustering in asset returns. (2007). Christodoulakis, George.
    In: European Journal of Operational Research.
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  35. Implied correlation from VaR. (2006). cotter, john ; Longin, Francois.
    In: MPRA Paper.
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  36. On Estimating an Assets Implicit Beta. (2006). Stephan, Andreas ; Husmann, Sven .
    In: Discussion Papers of DIW Berlin.
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  37. On Estimating an Assets Implicit Beta. (2005). Husmann, Sven .
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  38. Performance evaluation of neural network architectures: the case of predicting foreign exchange correlations. (2005). Chen, An-Sing ; Leung, Mark T..
    In: Journal of Forecasting.
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  39. An analysis of recent studies of the effect of foreign exchange intervention. (2005). Neely, Christopher.
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  40. Forecasting the comovements of spot interest rates. (2005). Ferreira, Miguel.
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  41. The forecasting abilities of implied and econometric variance-covariance models across financial measures. (2005). Chong, James.
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  42. Cross-dynamics of volatility term structures implied by foreign exchange options. (2005). Vähämaa, Sami ; Nikkinen, Jussi ; Krylova, Elizaveta ; Vahamaa, Sami.
    In: Working Paper Series.
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  43. Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index. (2005). Schleicher, Christoph ; Salmon, Mark ; Hurd, Matthew .
    In: CEPR Discussion Papers.
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  44. Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area. (2005). Pericoli, Marcello.
    In: Temi di discussione (Economic working papers).
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  45. Options trading profits from correlation forecasts. (2004). Chong, James.
    In: Applied Financial Economics.
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  46. Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?. (2004). Neely, Christopher.
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  47. Evaluating interest rate covariance models within a value-at-risk framework. (2004). Lopez, Jose ; Ferreira, Miguel.
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  48. Tracking Brazilian Exchange Rate Volatility. (2004). Tabak, Benjamin ; Chang, Eui Jung ; de Andrade, Sandro Canesso .
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  49. The performance of alternative valuation models in the OTC currency options market. (2003). Bollen, Nicolas P. B, ; Rasiel, Emma.
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  50. Jumps and time-varying correlations in daily foreign exchange rates. (2001). Chang, Kook-Hyun ; Kim, Myung-Jig.
    In: Journal of International Money and Finance.
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  51. The long-run behavior of the S&P Composite Price Index and its risk premium. (2000). Cohen, Ruben.
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  52. Implied Exchange Rate Distributions: Evidence from OTC Option Markets. (1997). Campa, Jose ; P. H. Kevin Chang, ; Reider, Robert L..
    In: NBER Working Papers.
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  53. Pitfalls in tests for changes in correlations. (1997). Loretan, Mico ; BOYER, BRIAN H. ; Gibson, Michael S..
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  18. Stochastic behaviour of Deutsche mark exchange rates within EMS. (2003). Laopodis, Nikiforos.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:665-676.

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  19. Markov Switching Garch Models of Currency Crises in Southeast Asia. (2003). Scotti, Chiara ; Mariano, Roberto ; Brunetti, Celso ; Augustine H. H. Tan, .
    In: PIER Working Paper Archive.
    RePEc:pen:papers:03-008.

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  20. The Effects of Japanese Foreign Exchange Intervention: GARCH Estimation and Change Point Detection. (2003). Schnabl, Gunther ; Hillebrand, Eric.
    In: Departmental Working Papers.
    RePEc:lsu:lsuwpp:2003-09.

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  21. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

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  22. Geography, Industrial Organization, and Agglomeration Heteroskedasticity Models with Estimates of the Variances of Foreign Exchange Rates. (2001). Kao, Chihwa.
    In: Center for Policy Research Working Papers.
    RePEc:max:cprwps:34.

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  23. Predicting exchange rate volatility: genetic programming vs. GARCH and RiskMetrics. (2001). Neely, Christopher ; Weller, Paul A..
    In: Working Papers.
    RePEc:fip:fedlwp:2001-009.

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  24. Nonparametric density estimation: A comparative study. (2001). Takada, Teruko.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-01c10007.

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  25. GOOD NEWS, BAD NEWS AND GARCH EFFECTS IN STOCK RETURN DATA. (2001). Depken, Craig.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:4:y:2001:n:2:p:313-327.

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  26. A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?. (2001). Lunde, Asger ; Hansen, Peter.
    In: Working Papers.
    RePEc:bro:econwp:2001-04.

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  27. Alternative GARCH in Mean Models: An Application to the Korean Stock Market. (2000). Karanasos, Menelaos ; Kim, J..
    In: Discussion Papers.
    RePEc:yor:yorken:00/25.

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  28. An empirical analysis of alternative parametric ARCH models. (2000). Loudon, Geoffrey F. ; Watt, Wing H. ; Yadav, Pradeep K..
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:2:p:117-136.

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  29. Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation and Empirical Results. (2000). Ghysels, Eric ; Andreou, Elena.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2000s-19.

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  30. Bayesian Model Estimation and Selection for the Weekly Colombian Exchange Rate. (2000). Rodríguez N., Norberto ; Rodriguez, Norberto .
    In: Borradores de Economia.
    RePEc:bdr:borrec:161.

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  31. Modeling the Volatility In the Central Bank Reserves In An Emerging Market Setting. (1999). Salman, Ferhan ; Salih, Aslihan .
    In: Working Papers.
    RePEc:tcb:wpaper:9901.

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  32. Dynamic futures hedging in currency markets. (1999). Chakraborty, Atreya ; Barkoulas, John.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:5:y:1999:i:4:p:299-314.

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  33. An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazils Real Plan, 1994-1997. (1999). Campa, Jose ; Refalo, James F. ; P. H. Kevin Chang, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6929.

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  34. The Distribution of Exchange Rate Volatility. (1999). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
    RePEc:fth:nystfi:99-059.

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  35. The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations. (1999). Beine, Michel ; Benassy-Quere, Agnès ; Christine Lecourt Keywords : Exchange rates; offic, .
    In: Working Papers.
    RePEc:cii:cepidt:1999-14.

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  36. Exchange rate in transition. (1998). Kočenda, Evžen.
    In: MPRA Paper.
    RePEc:pra:mprapa:32030.

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  37. Rethinking Deviations from Uncovered Interest Parity: The Role of Covariance Risk and Noise. (1998). Wu, Yangru ; Mark, Nelson.
    In: Working Papers.
    RePEc:osu:osuewp:98-05.

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  38. Target zones and conditional volatility: the role of realignments. (1998). Neely, Christopher.
    In: Working Papers.
    RePEc:fip:fedlwp:1994-008.

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  39. The forecasting ability of correlations implied in foreign exchange options. (1998). Campa, Jose ; Chang, P. H. Kevin, .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:17:y:1998:i:6:p:855-880.

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  40. Implied exchange rate distributions: evidence from OTC option markets1. (1998). Campa, Jose ; Chang, P. H. Kevin, ; Reider, Robert L..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:17:y:1998:i:1:p:117-160.

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  41. Implied Exchange Rate Distributions: Evidence from OTC Option Markets. (1997). Campa, Jose ; P. H. Kevin Chang, ; Reider, Robert L..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6179.

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  42. Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts. (1997). Bollerslev, Tim ; Andersen, Torben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6023.

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  43. The Forecasting Ability of Correlations Implied in Foreign Exchange Options. (1997). Campa, Jose ; P. H. Kevin Chang, .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5974.

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  44. Multifractality of Deutschemark/US Dollar Exchange Rates. (1997). Mandelbrot, Benoît ; Fisher, Adlai ; Calvet, Laurent.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1166.

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  45. Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets.. (1997). Watt, D. G. M., .
    In: Staff Working Papers.
    RePEc:bca:bocawp:97-18.

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  46. Risk, Policy Rules, and Noise: Rethinking Deviations From Uncovered Interest Parity. (1996). .
    In: Working Papers.
    RePEc:osu:osuewp:014.

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  47. Risk, Return and Regulation in Chinese Stock Markets. (1996). Su, Dongwei ; Fleisher, Belton.
    In: Working Papers.
    RePEc:osu:osuewp:005.

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  48. Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?. (1996). Vigfusson, Robert ; van Norden, Simon ; Murray, J..
    In: Technical Reports.
    RePEc:bca:bocatr:76.

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  49. Non-linear dynamics and chaos in the Spanish stock market. (1995). Pérez, Joaquín ; Olmeda, Ignacio ; Perez, Joaquin .
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:19:y:1995:i:2:p:217-248.

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  50. Stochastic Volatility. (1995). Renault, Eric ; Harvey, Andrew ; Ghysels, Eric.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:95s-49.

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  51. The Distribution of Exchange Rates in the EMS. (1994). Hakkio, Craig ; Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4834.

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  52. The Predictive Ability of Several Models of Exchange Rate Volatility. (1994). West, Kenneth ; Cho, Dong Chul .
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0152.

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  53. Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options. (1993). Bates, David S..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4596.

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  54. Efficient Tests for an Autoregressive Unit Root. (1992). Stock, James ; Elliott, Graham ; ROTHENBERG, Thomas J..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0130.

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  55. On meteor showers in stock markets: New York vs Madrid. (1992). Pea, Ignacio J..
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:16:y:1992:i:2:p:225-234.

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  56. Tipos de cambio flexibles, volatilidad y una nueva informacion: La nueva informacion como fuente de volatilidad. (). Vega, Manuel.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:139.

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  57. Tipos de cambio flexibles y volatilidad: Las regularidades empíricas de las observaciones diarias. (). José L. Alvarez, ; Vega, Manuel.
    In: Studies on the Spanish Economy.
    RePEc:fda:fdaeee:116.

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