Forecasting exchange rate density using parametric models: the case of Brazil

Detalhes bibliográficos
Autor(a) principal: Abe, Marcos Massaki
Data de Publicação: 2007
Outros Autores: Eui Jung Chang, Tabak, Benjamin Miranda
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/312
https://repositorio.ucb.br:9443/jspui/handle/123456789/7476
Resumo: This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results suggests that density forecasts using options markets may add value for portfolio and risk management, and may be useful for financial regulators to assess financial stability.
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spelling Abe, Marcos MassakiEui Jung ChangTabak, Benjamin Miranda2016-10-10T03:51:38Z2016-10-10T03:51:38Z2007ABE, Marcos M.; EUI J. Chang; TABAK, Benjamin M. Forecasting exchange rate density using parametric models: the case of Brazil. Revista Brasileira de Finanças, v. 5, n. 1, p. 29–39, 2007http://twingo.ucb.br:8080/jspui/handle/10869/312https://repositorio.ucb.br:9443/jspui/handle/123456789/7476This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results suggests that density forecasts using options markets may add value for portfolio and risk management, and may be useful for financial regulators to assess financial stability.Made available in DSpace on 2016-10-10T03:51:38Z (GMT). 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dc.title.pt_BR.fl_str_mv Forecasting exchange rate density using parametric models: the case of Brazil
title Forecasting exchange rate density using parametric models: the case of Brazil
spellingShingle Forecasting exchange rate density using parametric models: the case of Brazil
Abe, Marcos Massaki
Density forecasting
Emerging market
Exchange rate
Options market
title_short Forecasting exchange rate density using parametric models: the case of Brazil
title_full Forecasting exchange rate density using parametric models: the case of Brazil
title_fullStr Forecasting exchange rate density using parametric models: the case of Brazil
title_full_unstemmed Forecasting exchange rate density using parametric models: the case of Brazil
title_sort Forecasting exchange rate density using parametric models: the case of Brazil
author Abe, Marcos Massaki
author_facet Abe, Marcos Massaki
Eui Jung Chang
Tabak, Benjamin Miranda
author_role author
author2 Eui Jung Chang
Tabak, Benjamin Miranda
author2_role author
author
dc.contributor.author.fl_str_mv Abe, Marcos Massaki
Eui Jung Chang
Tabak, Benjamin Miranda
dc.subject.por.fl_str_mv Density forecasting
Emerging market
Exchange rate
Options market
topic Density forecasting
Emerging market
Exchange rate
Options market
dc.description.abstract.por.fl_txt_mv This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results suggests that density forecasts using options markets may add value for portfolio and risk management, and may be useful for financial regulators to assess financial stability.
dc.description.version.pt_BR.fl_txt_mv Sim
dc.description.status.pt_BR.fl_txt_mv Publicado
description This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future exchange rate density. These results suggests that density forecasts using options markets may add value for portfolio and risk management, and may be useful for financial regulators to assess financial stability.
publishDate 2007
dc.date.issued.fl_str_mv 2007
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:38Z
dc.date.available.fl_str_mv 2016-10-10T03:51:38Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv ABE, Marcos M.; EUI J. Chang; TABAK, Benjamin M. Forecasting exchange rate density using parametric models: the case of Brazil. Revista Brasileira de Finanças, v. 5, n. 1, p. 29–39, 2007
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/312
https://repositorio.ucb.br:9443/jspui/handle/123456789/7476
identifier_str_mv ABE, Marcos M.; EUI J. Chang; TABAK, Benjamin M. Forecasting exchange rate density using parametric models: the case of Brazil. Revista Brasileira de Finanças, v. 5, n. 1, p. 29–39, 2007
url http://twingo.ucb.br:8080/jspui/handle/10869/312
https://repositorio.ucb.br:9443/jspui/handle/123456789/7476
dc.language.iso.fl_str_mv eng
language eng
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eu_rights_str_mv openAccess
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dc.source.none.fl_str_mv reponame:Repositório Institucional da UCB
instname:Universidade Católica de Brasília (UCB)
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reponame_str Repositório Institucional da UCB
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