Option-implied volatility spillover indices for FX risk factors

DOI10.1016/J.ECONLET.2017.05.026zbMath1398.91595OpenAlexW2621742634MaRDI QIDQ1782312

Jari-Pekka Heinonen, Klaus Grobys

Publication date: 20 September 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.05.026

zbMATH Keywords

risk factorsvolatility spilloverscurrency marketsexpected portfolio volatilityexpected volatilityG-10 currenciesoption-implied volatility

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Misspecification tests and their uses in econometrics

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