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Predicting currency return volatility

Author

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  • Scott, Elton
  • Tucker, Alan L.
Abstract
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  • Scott, Elton & Tucker, Alan L., 1989. "Predicting currency return volatility," Journal of Banking & Finance, Elsevier, vol. 13(6), pages 839-851, December.
    • Handle: RePEc:eee:jbfina:v:13:y:1989:i:6:p:839-851
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    Citations

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    Cited by:

    1. Nobuya Takezawa & Noriyoshi Shiraishi, 1998. "A Note on the Term Structure of Implied Volatilities for the Yen/U.S. Dollar Currency Option," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 5(3), pages 227-236, November.
    2. Fernandez, Pablo & Ariño, Miguel A., 1996. "Divisas. Evolución y análisis de tipos de cambio (1980-1995)," IESE Research Papers D/315, IESE Business School.
    3. Debaditya Mohanti & P. K. Priyan, 2014. "An Empirical Test of Market Efficiency of Indian Index Options Market Using the Black–Scholes Model and Dynamic Hedging Strategy," Paradigm, , vol. 18(2), pages 221-237, December.
    4. David S. Bates, 1995. "Testing Option Pricing Models," NBER Working Papers 5129, National Bureau of Economic Research, Inc.
    5. Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 188-205, February.
    6. Holger Claessen & Stefan Mittnik, 2002. "Forecasting stock market volatility and the informational efficiency of the DAX-index options market," The European Journal of Finance, Taylor & Francis Journals, vol. 8(3), pages 302-321.
    7. Manuel Munoz Palma & Ezequiel Aviles Ochoa, 2014. "Addition Of The Fuzzy Logic Model To Black-Scholes, For Pricing Mexican Currency Options, La Incorporacion De La Logica Difusa Al Modelo Black-Scholes, Para La Determinacion Del Precio De La Opcion Ca," Revista Internacional Administracion & Finanzas, The Institute for Business and Finance Research, vol. 7(7), pages 55-73.
    8. Xu, Xinzhong & Taylor, Stephen J., 1995. "Conditional volatility and the informational efficiency of the PHLX currency options market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 803-821, August.
    9. Bronka Rzepkowski, 2001. "Pouvoir prédictif de la volatilité implicite dans le prix des options de change," Économie et Prévision, Programme National Persée, vol. 148(2), pages 71-97.
    10. Huang, Alex YiHou & Peng, Sheng-Pen & Li, Fangjhy & Ke, Ching-Jie, 2011. "Volatility forecasting of exchange rate by quantile regression," International Review of Economics & Finance, Elsevier, vol. 20(4), pages 591-606, October.
    11. Alessandra Pasqualina Viola & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Wagner Piazza Gaglianone, 2017. "Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression," Working Papers Series 466, Central Bank of Brazil, Research Department.
    12. Cifarelli, giulio, 2002. "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?," MPRA Paper 28538, University Library of Munich, Germany.
    13. Westerlund, Joakim & Narayan, Paresh Kumar, 2012. "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2632-2640.
    14. Marshall, Andrew & Musayev, Taleh & Pinto, Helena & Tang, Leilei, 2012. "Impact of news announcements on the foreign exchange implied volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 22(4), pages 719-737.
    15. Narayan Tondapu, 2024. "Analyzing Currency Fluctuations: A Comparative Study of GARCH, EWMA, and IV Models for GBP/USD and EUR/GBP Pairs," Papers 2402.07435, arXiv.org.
    16. Ariful Hoque & Chandrasekhar Krishnamurti, 2012. "Modeling moneyness volatility in measuring exchange rate volatility," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 8(4), pages 365-380, September.
    17. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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