کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
963329 | 930310 | 2006 | 17 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Implied volatility linkages among major European currencies
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
This paper examines linkages in expected future volatilities among major European currencies. For that purpose, volatility expectations implied by currency options on the euro, British pound, and Swiss franc quoted against the U.S. dollar are analysed. Vector autoregressive modelling is applied to ascertain the dynamics of the implied volatilities across currencies. The results show that the market expectations of future exchange rate volatilities are closely linked among major European currencies. Furthermore, it is found that the implied volatility of the euro significantly affects the volatility expectations of the British pound and the Swiss franc.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 16, Issue 2, April 2006, Pages 87-103
Journal: Journal of International Financial Markets, Institutions and Money - Volume 16, Issue 2, April 2006, Pages 87-103
نویسندگان
Jussi Nikkinen, Petri Sahlström, Sami Vähämaa,