Implied correlation indices and volatility forecasting

Fink, Holger und Geppert, Sabrina (2017): Implied correlation indices and volatility forecasting. In: Applied Economics Letters, Bd. 24, Nr. 9: S. 584-588

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.

• Dokumententyp: Zeitschriftenartikel
• Fakultät: Mathematik, Informatik und Statistik > Statistik
• Themengebiete: 500 Naturwissenschaften und Mathematik > 510 Mathematik
• ISSN: 1350-4851
• Sprache: Englisch