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Implied correlation indices and volatility forecasting
Authors:Holger Fink  Sabrina Geppert
Institution:1. Institute of Statistics, Ludwig-Maximilians-Universit?t München, Munich, Germanyholger.fink@stat.uni-muenchen.de;3. Institute of Statistics, Ludwig-Maximilians-Universit?t München, Munich, Germany
Abstract:Implied volatility indices are an important measure for ‘market fear’ and well-known in academia and practice. Correlation is still paid less attention even though the CBOE started to calculate implied correlation indices for the S&P500 in 2009. However, the literature especially on cross-country dependencies and applications is still quite thin. We are closing this gap by constructing an implied correlation index for the DAX and taking a deeper look at the (intercontinental) relationship between equity, volatility and correlation indices. Additionally, we show that implied correlation could improve implied volatility forecasting.
Keywords:Implied correlation  implied volatility  correlation indices  implied volatility forecasting
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