Modeling moneyness volatility in measuring exchange rate volatility
Paper
Paper/Presentation Title | Modeling moneyness volatility in measuring exchange rate volatility |
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Presentation Type | Paper |
Authors | Hoque, Ariful (Author) and Krishnamurti, Chandrasekhar (Author) |
Journal or Proceedings Title | Proceedings of the IEEE Symposium on Computational Intelligence for Financial Engineering and Economics (CIFEr 2011) |
Number of Pages | 6 |
Year | 2011 |
Place of Publication | Piscataway, NJ. United States |
ISBN | 9781424499335 |
Digital Object Identifier (DOI) | https://doi.org/10.1109/CIFER.2011.5953555 |
Web Address (URL) of Paper | http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=5953555 |
Conference/Event | CIFEr 2011: IEEE Symposium on Computational Intelligence for Financial Engineering and Economics |
Event Details | CIFEr 2011: IEEE Symposium on Computational Intelligence for Financial Engineering and Economics Event Date 11 to end of 15 Apr 2011 Event Location Paris, France |
Abstract | The implied volatility (IV) is widely believed to be the |
Keywords | implied volatility; moneyness volatility; realized volatility; Granger-Newbold test; Diebold-Mariano test |
ANZSRC Field of Research 2020 | 350208. Investment and risk management |
380110. International economics | |
380203. Economic models and forecasting | |
Public Notes | © 2011 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works. |
Byline Affiliations | University of South Australia |
School of Accounting, Economics and Finance | |
Institution of Origin | University of Southern Queensland |
https://research.usq.edu.au/item/q0y74/modeling-moneyness-volatility-in-measuring-exchange-rate-volatility
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