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Type: Artigo
Title: Forecasting exchange rate density using parametric models: the case of Brazil
Authors: Abe, Marcos Massaki
Eui Jung Chang
Tabak, Benjamin Miranda
Abstract: 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.
Keywords: Density forecasting
Emerging market
Exchange rate
Options market
Citation: 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
Access Type: Acesso Aberto
Document date: 2007
Appears in Collections:PPG - Revistas e Artigos Científicos

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