| 基于外汇期权方法的汇率预测研究 |
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| 引用本文： | 韩立岩,王逸峰.基于外汇期权方法的汇率预测研究[J].山西财经大学学报,2007,29(6):101-106. |
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| 作者姓名： | 韩立岩 王逸峰 |
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| 作者单位： | 北京航空航天大学,经济管理学院,北京,100083 |
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| 摘 要： | 文章利用2004年芝加哥商品交易所的美元-欧元期货期权的信息,分析了其隐含偏度和隐含波动率在预测短期汇率中的效力。结果发现,隐含偏度、隐含波动率的偏度与每日汇率变化率有紧密的联系。
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| 关 键 词： | 美元-欧元期货期权 隐含偏度 隐含波动率 |
| 文章编号： | 1007-9556（2007）06-0101-06 |
| 收稿时间： | 2007-05-05 |
| 修稿时间： | 2007-05-05 |
An Empirical Study on Forecasting Exchange Rate Based on Option-based Method |
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| HAN Li-yan,WANG Yi-feng.An Empirical Study on Forecasting Exchange Rate Based on Option-based Method[J].Journal of Shanxi Finance and Economics University,2007,29(6):101-106. |
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| Authors: | HAN Li-yan WANG Yi-feng |
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| Institution: | School of Economic Management, Beihang University, Beijing 100083, China |
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| Abstract: | The authors analyzes the predictive power of implied skewness and implied volatility derived from Chicago Mercantile Exchange options on Euro FX over the year 2004.The study shows that implied skewness and the skewness of implied volatility both have close relationship with daily return. |
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| Keywords: | Euro FX options implied skewness implied volatility |
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