Forecasting volatility and option pricing for exchange-rate dynamics: a comparison of models

On the modelling of exchange rate dynamics by stable paretian distributions

Kaehler, Juergen

January 1991

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models

Pong, Shiuyan
Shackleton, Mark B.
Taylor, Stephen J.
Xu, Xinzhong

October 2004

We compare forecasts of the realized volatility of the pound, mark and yen exchange rates against th...

Modeling volatility in foreign currency option pricing

Hoque, Mohammed
Chan, Felix
Manzur, Meher

January 2008

This paper presents a general optimization framework to forecast put and call option prices by explo...

Exchange rate volatility and international trade: the option approach

Franke, Guenter

January 1986

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Exchange rate volatility and international trade: the option approach

Franke, G.
Konstanz Univ. (Germany). Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft

January 1986

SIGLEBibliothek Weltwirtschaft Kiel C 143926 / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Tech...

Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Claessen, Holger
Mittnik, Stefan

January 1996

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Exchange rate volatility and hedging: the multiperiod case

Broll, Udo F.
Wahl, Jack E.
Zilcha, Itzhak
Universitaet, Muenchen (Germany). Volkswirtschaftliche Fakultaet

January 1997

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel W 63 (97.03) / F...

Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options

Kaehler, Juergen
Marnet, Volker

January 1993

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Comparing forecast performances among volatility estimation methods in the pricing of European type currency options of USD-TL and Euro-TL

Gözgör, Giray
Nokay, Pinar

January 2011

Gözgör, Giray (Dogus Author)By using the daily values of USD-TL and Euro-TL denominated European cal...

Exchange rate volatility and international trade

Broll, Udo F.
Eckwert, Bernhard
Universitaet, Muenchen (Germany). Volkswirtschaftliche Fakultaet

January 1997

Available from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel W 63 (97.15) / FIZ - ...

Exchange rate volatility and international trade: the option approach

Franke, G.
Konstanz Univ. (Germany). Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft

January 1986

SIGLETIB Hannover: RO 3913(12) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische Informa...

Forecasting Exchange Rate Volatility. Applying HAR models and Implied Volatility in SEK denominated markets

Agermark, Anton
Hoti, Visar

October 2016

In this paper we study a set of models' forecasting accuracy of realized volatility in two SEK denom...

Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models

Pong, SY
Shackleton, MB
Taylor, SJ
Xu, XZ

January 2004

We compare forecasts of the realized volatility of the pound, mark and yen exchange rates against th...

Price dynamics in foreign exchange markets: an empirical study

Kaehler, Juergen

January 1990

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Currency option pricing and realised volatility

Manzur, Meher
Hoque, A.
Poitras, G.

January 2010

Volatility is a key parameter in currency option pricing. This paper examines alternative specificat...

On the modelling of exchange rate dynamics by stable paretian distributions

Kaehler, Juergen

January 1991

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models

Pong, Shiuyan
Shackleton, Mark B.
Taylor, Stephen J.
Xu, Xinzhong

October 2004

We compare forecasts of the realized volatility of the pound, mark and yen exchange rates against th...

Modeling volatility in foreign currency option pricing

Hoque, Mohammed
Chan, Felix
Manzur, Meher

January 2008

This paper presents a general optimization framework to forecast put and call option prices by explo...

Exchange rate volatility and international trade: the option approach

Franke, Guenter

January 1986

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Exchange rate volatility and international trade: the option approach

Franke, G.
Konstanz Univ. (Germany). Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft

January 1986

SIGLEBibliothek Weltwirtschaft Kiel C 143926 / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Tech...

Forecasting stock market volatility and the informational efficiency of the DAX-index options market

Claessen, Holger
Mittnik, Stefan

January 1996

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Exchange rate volatility and hedging: the multiperiod case

Broll, Udo F.
Wahl, Jack E.
Zilcha, Itzhak
Universitaet, Muenchen (Germany). Volkswirtschaftliche Fakultaet

January 1997

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel W 63 (97.03) / F...

Markov-switching models for exchange-rate dynamics and the pricing of foreign-currency options

Kaehler, Juergen
Marnet, Volker

January 1993

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Comparing forecast performances among volatility estimation methods in the pricing of European type currency options of USD-TL and Euro-TL

Gözgör, Giray
Nokay, Pinar

January 2011

Gözgör, Giray (Dogus Author)By using the daily values of USD-TL and Euro-TL denominated European cal...

Exchange rate volatility and international trade

Broll, Udo F.
Eckwert, Bernhard
Universitaet, Muenchen (Germany). Volkswirtschaftliche Fakultaet

January 1997

Available from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, D-21400 Kiel W 63 (97.15) / FIZ - ...

Exchange rate volatility and international trade: the option approach

Franke, G.
Konstanz Univ. (Germany). Sonderforschungsbereich 178 - Internationalisierung der Wirtschaft

January 1986

SIGLETIB Hannover: RO 3913(12) / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische Informa...

Forecasting Exchange Rate Volatility. Applying HAR models and Implied Volatility in SEK denominated markets

Agermark, Anton
Hoti, Visar

October 2016

In this paper we study a set of models' forecasting accuracy of realized volatility in two SEK denom...

Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models

Pong, SY
Shackleton, MB
Taylor, SJ
Xu, XZ

January 2004

We compare forecasts of the realized volatility of the pound, mark and yen exchange rates against th...

Price dynamics in foreign exchange markets: an empirical study

Kaehler, Juergen

January 1990

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Currency option pricing and realised volatility

Manzur, Meher
Hoque, A.
Poitras, G.

January 2010

Volatility is a key parameter in currency option pricing. This paper examines alternative specificat...

On the modelling of exchange rate dynamics by stable paretian distributions

Kaehler, Juergen

January 1991

SIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-2410...

Forecasting currency volatility: A comparison of implied volatilities and AR(FI)MA models

Pong, Shiuyan
Shackleton, Mark B.
Taylor, Stephen J.
Xu, Xinzhong

October 2004

We compare forecasts of the realized volatility of the pound, mark and yen exchange rates against th...

Modeling volatility in foreign currency option pricing

Hoque, Mohammed
Chan, Felix
Manzur, Meher

January 2008

This paper presents a general optimization framework to forecast put and call option prices by explo...

Forecasting volatility and option pricing for exchange-rate dynamics: a comparison of models

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Forecasting volatility and option pricing for exchange-rate dynamics: a comparison of models

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