Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices

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Standard

Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices. / Hanke, Michael; Poulsen, Rolf; Weissensteiner, Alex.

I: Journal of Financial and Quantitative Analysis, Bind 53, Nr. 6, 2018, s. 2663-2683 .

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningfagfællebedømt

Harvard

Hanke, M, Poulsen, R & Weissensteiner, A 2018, 'Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices', Journal of Financial and Quantitative Analysis, bind 53, nr. 6, s. 2663-2683 . https://doi.org/10.1017/S002210901800042X

APA

Hanke, M., Poulsen, R., & Weissensteiner, A. (2018). Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices. Journal of Financial and Quantitative Analysis, 53(6), 2663-2683 . https://doi.org/10.1017/S002210901800042X

Vancouver

Hanke M, Poulsen R, Weissensteiner A. Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices. Journal of Financial and Quantitative Analysis. 2018;53(6):2663-2683 . https://doi.org/10.1017/S002210901800042X

Author

Hanke, Michael ; Poulsen, Rolf ; Weissensteiner, Alex. / Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices. I: Journal of Financial and Quantitative Analysis. 2018 ; Bind 53, Nr. 6. s. 2663-2683 .

Bibtex

@article{e4f72ff9477b40728cfd03665303a386,
title = "Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices",
abstract = "Betting quotes provide valuable information on market-implied probabilities for outcomes of events such as elections or referendums, which may have an impact on exchange rates. We generate exchange-rate forecasts around such events based on a model that combines risk-neutral event probabilities implied from betting quotes with risk-neutral exchange-rate densities extracted from currency option prices. Its application to predict exchange rates around the Brexit referendum and the U.S. presidential elections shows that these forecasts, conditional on the respective outcomes, were accurate, and markets were able to separate their views on the likelihood and the impact of these events.",
author = "Michael Hanke and Rolf Poulsen and Alex Weissensteiner",
year = "2018",
doi = "10.1017/S002210901800042X",
language = "English",
volume = "53",
pages = "2663--2683",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",
number = "6",

}

RIS

TY - JOUR

T1 - Event-Related Exchange Rate Forecasts Combining Information from Betting Quotes and Option Prices

AU - Hanke, Michael

AU - Poulsen, Rolf

AU - Weissensteiner, Alex

PY - 2018

Y1 - 2018

N2 - Betting quotes provide valuable information on market-implied probabilities for outcomes of events such as elections or referendums, which may have an impact on exchange rates. We generate exchange-rate forecasts around such events based on a model that combines risk-neutral event probabilities implied from betting quotes with risk-neutral exchange-rate densities extracted from currency option prices. Its application to predict exchange rates around the Brexit referendum and the U.S. presidential elections shows that these forecasts, conditional on the respective outcomes, were accurate, and markets were able to separate their views on the likelihood and the impact of these events.

AB - Betting quotes provide valuable information on market-implied probabilities for outcomes of events such as elections or referendums, which may have an impact on exchange rates. We generate exchange-rate forecasts around such events based on a model that combines risk-neutral event probabilities implied from betting quotes with risk-neutral exchange-rate densities extracted from currency option prices. Its application to predict exchange rates around the Brexit referendum and the U.S. presidential elections shows that these forecasts, conditional on the respective outcomes, were accurate, and markets were able to separate their views on the likelihood and the impact of these events.

U2 - 10.1017/S002210901800042X

DO - 10.1017/S002210901800042X

M3 - Journal article

VL - 53

SP - 2663

EP - 2683

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

SN - 0022-1090

IS - 6

ER -

ID: 192452772