文章基本信息

标题：Is It Possible to Replicate the Exchange Rate Volatility Behavior Using Dynamic Strategies?
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作者：Ronny Kim Woo ; José Valentim Machado Vicente ; Claudio Henrique Barbedo 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2009
卷号：7
期号：4
页码：485-501
语种：Portuguese
出版社：Link to the Brazilian Society of Finance
摘要：The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented, it is the most important variable. This work investigates whether information embedded in this implied volatility market are explained by other traded variables in the Brazilian market. The results show that there are sources of non-negotiable risk that influence this implied volatility. Therefore, exchange rate implied volatility can assist to understand the behavior of the derivatives indexed to dollar.
其他摘要：The implied volatility is certainly an interesting indicator to help get a sense of the market, because it represents the amount of expected volatility the market is pricing. In over-the-counter exchange rate option, whose trading is volatility oriented, it is the most important variable. This work investigates whether information embedded in this implied volatility market are explained by other traded variables in the Brazilian market. The results show that there are sources of non-negotiable risk that influence this implied volatility. Therefore, exchange rate implied volatility can assist to understand the behavior of the derivatives indexed to dollar.
关键词：implied volatility;exchange rate option;principal components.;volatilidade implícita;opção de dólar;componentes principais
其他关键词：economics, business;implied volatility; exchange rate option; principal components.;G12; G13.