基于外汇期权方法的汇率预测研究被引量：2

An Empirical Study on Forecasting Exchange Rate Based on Option-based Method

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摘要文章利用2004年芝加哥商品交易所的美元-欧元期货期权的信息,分析了其隐含偏度和隐含波动率在预测短期汇率中的效力。结果发现,隐含偏度、隐含波动率的偏度与每日汇率变化率有紧密的联系。 The authors analyzes the predictive power of implied skewness and implied volatility derived from Chicago Mercantile Exchange options on Euro FX over the year 2004. The study shows that implied skewness and the skewness of implied volatility both have close relationship with daily return.

作者韩立岩王逸峰

机构地区北京航空航天大学经济管理学院

出处《山西财经大学学报》 CSSCI 2007年第6期101-106,共6页 Journal of Shanxi University of Finance and Economics

关键词美元-欧元期货期权隐含偏度隐含波动率 Euro FX options implied skewness implied volatility

分类号 F832.6 [经济管理—金融学]

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参考文献7

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二级参考文献11

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