| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5974 |
| 来源ID | Working Paper 5974 |
| The Forecasting Ability of Correlations Implied in Foreign Exchange Options | |
| Jose M. Campa; P. H. Kevin Chang | |
| 发表日期 | 1997-03-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | This paper evaluates the forecasting accuracy of correlation derived from implied volatilities in dollar-mark, dollar-yen, and mark-yen options from January 1989 to May 1995. As a forecast of realized correlation between the dollar-mark and dollar-yen, implied correlation is compared against three alternative forecasts based on time series data: historical correlation, RiskMetrics' exponentially weighted moving average correlation, and correlation estimated using a bivariate GARCH (1,1) model. At the one-month and three-month forecast horizons, we find that implied correlation outperforms, often significantly, these alternative forecasts. In combinations, implied correlation always incrementally improves the performance of other forecasts, but not the converse; in certain cases historically based forecasts contribute no incremental information to implied forecasts. The superiority of the implied correlation forecast holds even when forecast errors are weighted by realized variances, reflecting correlation's contribution to the dollar variance of a multicurrency portfolio. |
| 主题 | International Economics ; International Finance ; Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w5974 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563475 |
| 推荐引用方式 GB/T 7714 | Jose M. Campa,P. H. Kevin Chang. The Forecasting Ability of Correlations Implied in Foreign Exchange Options. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5974.pdf（1349KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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