Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?

Journal of International Financial Markets, Institutions and Money

Volumn 19, Issue 1, 2009, Pages 188-205

  Neely, Christopher J ^a  

^a FEDERAL RESERVE BANK OF ST LOUIS   (United States)

Author keywords

Exchange rate; GARCH; High frequency; Implied volatility; Option

Indexed keywords

EID: 57649193083     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.intfin.2007.11.002     Document Type: Article

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