Does Option‐Implied Cross‐Sectional Return Dispersion Forecast Realized Cross‐Sectional Return Dispersion? Evidence From the G10 Currencies
利用G10货币的期权价格数据，研究发现1个月和3个月期限的期权隐含横截面收益方差能比历史方差更好地预测未来的横截面收益方差，对汇率风险管理和资产配置有参考价值。
This study employs option‐price data to back out the implied cross‐sectional return variance in the G10 currencies. It investigates the relation of implied cross‐sectional return dispersion in the currency market and subsequent realized cross‐sectional return dispersion. We find that implied cross‐sectional return variance, based on option‐price data with 1‐ and 3‐month maturity, outperforms past cross‐sectional return variance in forecasting future cross‐sectional return variance. © 2016 Wiley Periodicals, Inc. Jrl Fut Mark 37:3–22, 2017