汇率相关性预测的比较研究

doi:10.12094/1002-7246（2017）05-0018-14

Journal of Financial Research

2017, Vol. 443

Issue (5): 18-31 DOI: 10.12094/1002-7246（2017）05-0018-14

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A Comparative Study on the Forcasting of the Correlation between FX Rates

ZHENG Zhenlong, WANG Lei

School of Management, Xiamen University;
Dept. of Financial Market, Agricultural Bank of China

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Abstract On the basic assumption of the no-arbitrage triangular relationship among the related three spot foreign exchange rates, this paper uses the transition of the variance formula for the sum of variables in statistics and the quoted implied volatility prices from the OTC market to calculate the option-implied correlation between two exchange rates,in one, three, six and twelve months. Results of the comparison show that the implied correlation series predicts more precisely than both the historical correlation series and the EWMA correlation series.

Key words： Foreign Exchange Rate Implied Correlation Forecasting

Received: 13 August 2014 Published: 18 January 2018

JEL分类号:	F31
	G11
	G15

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ZHENG Zhenlong,WANG Lei. A Comparative Study on the Forcasting of the Correlation between FX Rates[J]. Journal of Financial Research, 2017, 443(5): 18-31.

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http://www.jryj.org.cn/EN/10.12094/1002-7246（2017）05-0018-14 OR http://www.jryj.org.cn/EN/Y2017/V443/I5/18

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