| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7893 |
| DP7893 Spot and Forward Volatility in Foreign Exchange | |
| LUCIO SARNO; Pasquale Della Corte; Ilias Tsiakas | |
| 发表日期 | 2010-06-01 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | This paper investigates the empirical relation between spot and forward implied volatility in foreign exchange. We formulate and test the forward volatility unbiasedness hypothesis, which may be viewed as the volatility analogue to the extensively researched hypothesis of unbiasedness in forward exchange rates. Using a new data set of spot implied volatility quoted on over-the-counter currency options, we compute the forward implied volatility that corresponds to the delivery price of a forward contract on future spot implied volatility. This contract is known as a forward volatility agreement. We ?nd strong evidence that forward implied volatility is a systematically biased predictor that overestimates movements in future spot implied volatility. This bias in forward volatility generates high economic value to an investor exploiting predictability in the returns to volatility speculation and indicates the presence of predictable volatility term premiums in foreign exchange. |
| 主题 | Financial Economics |
| 关键词 | Implied volatility Foreign exchange Forward volatility agreement Unbiasedness Volatility speculation |
| URL | https://cepr.org/publications/dp7893 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/536730 |
| 推荐引用方式 GB/T 7714 | LUCIO SARNO,Pasquale Della Corte,Ilias Tsiakas. DP7893 Spot and Forward Volatility in Foreign Exchange. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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