Option-implied volatility spillover indices for FX risk factors (Q1782312)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option-implied volatility spillover indices for FX risk factors |
scientific article |
Statements
Option-implied volatility spillover indices for FX risk factors (English)
0 references
20 September 2018
0 references
volatility spillovers
0 references
currency markets
0 references
G-10 currencies
0 references
option-implied volatility
0 references
risk factors
0 references
expected volatility
0 references
expected portfolio volatility
0 references
