The discontinuation of the EUR/CHF minimum exchange rate: information from option-implied break probabilities

DOI10.1515/SNDE-2019-0078OpenAlexW3041731547MaRDI QIDQ2699616

Julius Loermann, Richhild Moessner, Michael Funke

Publication date: 19 April 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2019-0078

zbMATH Keywords

optionsforecastingSwiss francrisk-neutral probability densities

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

• The role of implied volatility in forecasting future realized volatility and jumps in foreign exchange, stock, and bond markets
• The Distribution of Realized Exchange Rate Volatility
• Tests of equal forecast accuracy and encompassing for nested models

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