Does Option-Implied Cross-Sectional Return Dispersion Forecast Realized Cross-Sectional Return Dispersion? Evidence From the G10 Currencies

Toimittaja(t)

Wiley
2016-07-07
Artikkeli
Laskentatoimi ja rahoitus
vertaisarvioitu
Artikkeli
Osuva_Grobys_Heinonen_2016.pdf - Hyväksytty kirjoittajan käsikirjoitus - 4.49 MB

Pysyvä osoite

https://urn.fi/URN:NBN:fi-fe202102043742

Kuvaus

© 2016 Wiley. This is the pre-peer reviewed version of the following article: Grobys, K. & Heinonen, J.‐P. (2016). Does Option‐Implied Cross‐Sectional Return Dispersion Forecast Realized Cross‐Sectional Return Dispersion? Evidence From the G10 Currencies. Journal of Futures Markets 37(1), 3-22, which has been published in final form at https://doi.org/10.1002/fut.21798. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.
This study employs option‐price data to back out the implied cross‐sectional return variance in the G10 currencies. It investigates the relation of implied cross‐sectional return dispersion in the currency market and subsequent realized cross‐sectional return dispersion. We find that implied cross‐sectional return variance, based on option‐price data with 1‐ and 3‐month maturity, outperforms past cross‐sectional return variance in forecasting future cross‐sectional return variance. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:3–22, 2017

URI

https://doi.org/10.1002/fut.21798

Emojulkaisu

ISBN

ISSN

0270-7314
1096-9934

Aihealue

Kausijulkaisu

Journal of Futures Markets|37

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