Volatility and Correlation Timing in Active Currency Management

Handbook of Exchange Rates

Volumn , Issue , 2012, Pages 421-447

  Della Corte, Pasquale ^a   Sarno, Lucio ^b,c   Tsiakas, Ilias ^d  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b CITY UNIVERSITY   (United Kingdom)

^c CEPR ^*  (United States)

^d UNIVERSITY OF GUELPH   (Canada)

Author keywords

Bayesian asset allocation, and parameter uncertainty; Dynamic models for volatility and correlation; Economic value of volatility correlation timing; Volatility and correlation timing evaluation; Volatility correlation timing in active currency management

Indexed keywords

EID: 84886333385     PISSN: None     EISSN: None     Source Type: Book    
DOI: 10.1002/9781118445785.ch15     Document Type: Chapter

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