Global Macroeconomic Announcements and Foreign Exchange Implied Volatility
<p>This paper examines the impact of the US and Chinese macro economic announcements on foreign exchange implied volatilities of SPX, VXFXI, BPVIX, JYVIX, and EUVIX from 2011 to 2016. The study indicates that implied volatility becomes significant and leads to the resolution of uncertainty on...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2017-10-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | https://www.econjournals.com/index.php/ijefi/article/view/5364 |