Option-implied volatility spillover indices for FX risk factors (Q1782312)
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scientific article; zbMATH DE number 6939395
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| English | Option-implied volatility spillover indices for FX risk factors |
scientific article; zbMATH DE number 6939395 |
Statements
Option-implied volatility spillover indices for FX risk factors (English)
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20 September 2018
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volatility spillovers
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currency markets
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G-10 currencies
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option-implied volatility
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risk factors
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expected volatility
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expected portfolio volatility
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0.7348171472549438
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0.7202986478805542
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0.7186355590820312
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0.7125312089920044
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