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- W1570608881 abstract "Models for the conditional joint distribution of the U.S. Dollar/Japanese Yen and Euro/Japanese Yen exchange rates, from November 2001 until June 2007, are evaluated and compared. The conditional dependency is allowed to vary across time, as a function of either historical returns or a combination of past return data and option-implied dependence estimates. Using prices of currency options that are available in the public domain, risk-neutral dependency expectations are extracted through a copula repre- sentation of the bivariate risk-neutral density. For this purpose, we employ either the one-parameter Normal or a two-parameter Gumbel Mixture specification. The latter provides forward-looking information regarding the overall degree of covariation, as well as, the level and direction of asymmetric dependence. Specifications that include option-based measures in their information set are found to outperform, in-sample and out-of-sample, models that rely solely on historical returns." @default.
- W1570608881 created "2016-06-24" @default.
- W1570608881 creator A5065844507 @default.
- W1570608881 date "2010-01-12" @default.
- W1570608881 modified "2023-09-27" @default.
- W1570608881 title "Dynamic models of exchange rate dependence using option prices and historical returns" @default.
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