A volatility smile-based uncertainty index |
| |
Authors: | Vicente José Valentim Machado Marins Jaqueline Terra Moura |
| |
Affiliation: | 1.Central Bank of Brazil, Rio de Janeiro, Brazil ; |
| |
Abstract: | Annals of Finance - We propose a new uncertainty index based on the discrepancy of the smile of FX options. We show that our index spikes near turbulent periods, forecasts economic activity and its... |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |