The forecast ability of risk-neutral densities of foreign exchange
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- Ben R. Craig & Joachim G. Keller, 2004. "The forecast ability of risk-neutral densities of foreign exchange," Working Papers (Old Series) 0409, Federal Reserve Bank of Cleveland.
References listed on IDEAS
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Cited by:
- Gomes, Frederico Pechir & Takami, Marcelo Yoshio & Brandi, Vinicius Ratton, 2008. "Investigating Unusual Changes in Real-Dollar Exchange Rate," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(2), October.
- Gabriele Galati & Patrick Higgins & Owen Humpage & William Melick, 2007.
"Option prices, exchange market intervention, and the higher moment expectations channel: a user's guide,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 225-247.
- Gabriele Galati & Patrick C. Higgins & Owen F. Humpage & William R. Melick, 2006. "Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide," Working Papers (Old Series) 0618, Federal Reserve Bank of Cleveland.
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More about this item
Keywords
Risk-neutral densities from option prices; American exchange rate options; Evaluating Density Forecasts; Pentionominal tree; Density evaluation;All these keywords.
JEL classification:
- F47 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - Forecasting and Simulation: Models and Applications
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2006-08-05 (Econometrics)
- NEP-FMK-2006-08-05 (Financial Markets)
- NEP-FOR-2006-08-05 (Forecasting)
- NEP-IFN-2006-08-05 (International Finance)
- NEP-MST-2006-08-05 (Market Microstructure)
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