Implied betas for the Frankel-Wei regression framework

DOI10.1016/J.ECONLET.2022.110758zbMath1498.91511OpenAlexW4288075203MaRDI QIDQ2083549

Michael Kunkler

Publication date: 11 October 2022

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

Full work available at URL: https://doi.org/10.1016/j.econlet.2022.110758

zbMATH Keywords

exchange ratesimplied volatilitiesimplied betas

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Cites Work

• Dynamics of foreign exchange implied volatility and implied correlation surfaces

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