Cross Economic Determinants of Implied Volatility Smile Dynamics: Three Major European Currency Options
研究经济变量与三种主要欧洲货币期权隐含波动率微笑之间的同期和领先滞后关系，发现跨国经济决定因素至少与本国经济变量同样重要，有助于解释理论模型与实际波动率偏斜之间的差距。
Abstract This paper examines the contemporaneous and lead–lag relationships between economic variables and implied volatility smiles for three major European currency options. We find that cross economic determinants are at least as important as own economic variables in explaining the dynamics of implied volatility smiles. Out‐of‐sample tests also suggest that cross economic variables are important in predicting an economy's currency option smile. These findings suggest that the price impact from cross economic determinants may help fill the gap between the theoretical and the practical implied volatility skews.