Browsing Xfi - Centre for Finance and Investment by Title
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(Cambridge University Press, 2013-11-28)We test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum and reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do ...
Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices (Elsevier, 2008)We address the question whether the evolution of implied volatility can be forecasted by studying a number of European and U.S. implied volatility indices. Both point and interval forecasts are formed by alternative model ...
(University of Exeter, Xfi Centre for Finance and Investment, 2004)