Is it worth tracking dollar/real implied volatility?
In this paper we examine the relation between dollar-real exchange rate volatility implied in option prices and subsequent realized volatility, in the period of February 1999 to February 2001. Our results are in line with recent literature, suggesting that the implied volatility obtained from a sim...
| Main Authors: | , |
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| Format: | Article |
| Language: | Portuguese |
| Published: |
Universidade de São Paulo
2001-06-01
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| Series: | Economia Aplicada |
| Subjects: | |
| Online Access: | https://www.revistas.usp.br/ecoa/article/view/219766 |