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Forecasting foreign exchange rates using idiosyncratic volatility
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DOI：10.1016/j.jbankfin.2007.11.006.png)
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Average idiosyncratic stock volatility forecasts the bilateral exchange rates of the US dollar against major foreign currencies in and out of sample. The US dollar tends to appreciate after an increase in US idiosyncratic volatility. Similarly, ceteris paribus, German and Japanese idiosyncratic volatilities positively and significantly correlate with future US dollar prices of the Deutsche mark and the Japanese yen, respectively. Our results suggest that exchange rates are predictable. (C) 2007 Elsevier B.V. All rights reserved.
Keyword:
exchange rate predictability
average idiosyncratic stock volatility
monetary model
out-of-sample forecast
bootstrap
data mining
期刊
J
IF:
3.8
论文数:
6.4K
被引数:
2.4W
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引用论文
Have individual stocks become more volatile? An empirical exploration of idiosyncratic risk.png)
JOURNAL OF FINANCE
OAAI
JOURNAL OF FINANCEIF9.5
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