Forecasting exchange rate correlations using options and high-frequency data:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2011
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| Subjects: | |
| Online Access: | Inhaltsverz. Inhaltsverzeichnis |
| Physical Description: | IX, 196 S. graph. Darst. |
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| adam_text | Titel: Forecasting exchange rate correlations using options and high-frequency data
Autor: Moldenhauer, Felix
Jahr: 2011
Contents
List of Figures iv
List of Tables vi
Acknowledgements vii
Executive Summary ix
1 Introduction 1
1.1 Motivation .......................................... 1
1.2 Contribution of this Thesis ................................. 2
1.3 Structure of this Document................................. 3
2 Forecasts and Realizations: Methodology and Data 5
2.1 Setting of the Empirical Study............................... 7
2.2 Correlation Forecasts Implied by Currency Option Prices ................ 9
2.2.1 Currency Option Data................................ 9
2.2.2 Implied FX Volatilities................................ 10
2.2.2.1 Black-Scholes Framework......................... 10
2.2.2.2 Model-free Implied Volatilities...................... 16
2.2.3 Implied FX Correlations............................... 30
2.2.3.1 Black-Scholes Framework......................... 30
2.2.3.2 Model-free Approach ........................... 37
2.3 Realized Correlations Derived from High-Frequency Exchange Rate Data ....... 44
2.3.1 High-frequency Exchange Rate Data........................ 44
2.3.2 FX Returns...................................... 47
2.3.3 Realized FX Volatilities............................... 55
2.3.4 Realized FX Correlations.............................. 70
3 Correlation Forecasting and Option-Implied Correlation Risk Premia 89
3.1 Framework of the Forecasting Study............................ 91
3.2 Information Content: Mean Squared Error Analysis ................... 93
3.2.1 MSE Methodology.................................. 93
3.2.2 Results for FX Correlations............................. 96
3.2.3 Comparison to FX Volatilities............................ 97
3.3 Linear Prediction Equation: Mincer and Zarnowitz (1969)................ 105
3.3.1 Unbiasedness of Forecasts.............................. 106
3.3.2 Efficiency Relative to Past Forecast Errors..................... 116
3.3.3 Orthogonality to Competing Predictors...................... 117
4 Economic Value of Option-Implied Correlation Forecasts 121
4.1 Minimum-Variance Investing: Optimized Carry-Trades Using Implied Correlations . . 122
4.1.1 Investing in Foreign Currencies: Carry Trades................... 122
4.1.2 Minimum-Variance Investing............................ 124
4.1.3 Portfolio Choice with Options and High-Frequency Data............. 126
4.1.3.1 Optimal Portfolios with Options Data.................. 127
4.1.3.2 Optimal Portfolios with High-Frequency Data............. 127
4.1.4 Optimized Portfolios of Carry Trades ....................... 127
4.1.4.1 Different Investment Horizons...................... 133
4.1.4.2 Joining Historical Volatilities to Implied Correlations, and Vice Versa 133
4.1.4.3 Discarding UIP and Introducing Expected Returns .......... 135
4.1.5 Conclusions and Further Extensions........................ 136
4.2 Trading on the Term Structure of Implied Correlations.................. 139
4.2.1 Motivation...................................... 139
4.2.2 Review of the Literature............................... 139
4.2.3 Trading on Forward Implied Correlations..................... 140
4.2.4 Unbiasedness of Forward Implied Correlations................... 142
4.2.5 Conclusions and Further Extensions........................ 145
5 Conclusion 147
A Appendix 149
A.l Garman and Kohlhagen (1983) Option Pricing Formulae................. 150
A.2 Calculation of High-Frequency FX Returns........................ 152
A.3 Additional Figures and Tables................................ 154
Bibliography 196
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| institution | BVB |
| language | English |
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| spelling | Moldenhauer, Felix 1978- Verfasser (DE-588)101686518X aut Forecasting exchange rate correlations using options and high-frequency data submitted by Felix Moldenhauer 2011 IX, 196 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2011 Wechselkurstheorie Prognosemodell Wechselkurstheorie swd Prognosemodell swd (DE-588)4113937-9 Hochschulschrift gnd-content http://aleph.unisg.ch/hsgscan/hm00369982.pdf Inhaltsverz. HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024571946&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Moldenhauer, Felix 1978- Forecasting exchange rate correlations using options and high-frequency data Wechselkurstheorie Prognosemodell Wechselkurstheorie swd Prognosemodell swd |
| subject_GND | (DE-588)4113937-9 |
| title | Forecasting exchange rate correlations using options and high-frequency data |
| title_auth | Forecasting exchange rate correlations using options and high-frequency data |
| title_exact_search | Forecasting exchange rate correlations using options and high-frequency data |
| title_full | Forecasting exchange rate correlations using options and high-frequency data submitted by Felix Moldenhauer |
| title_fullStr | Forecasting exchange rate correlations using options and high-frequency data submitted by Felix Moldenhauer |
| title_full_unstemmed | Forecasting exchange rate correlations using options and high-frequency data submitted by Felix Moldenhauer |
| title_short | Forecasting exchange rate correlations using options and high-frequency data |
| title_sort | forecasting exchange rate correlations using options and high frequency data |
| topic | Wechselkurstheorie Prognosemodell Wechselkurstheorie swd Prognosemodell swd |
| topic_facet | Wechselkurstheorie Prognosemodell Hochschulschrift |
| url | http://aleph.unisg.ch/hsgscan/hm00369982.pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=024571946&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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