body {overflow: hidden;} .js-needed-message {position: fixed; z-index: 999; width: 100%; height: 100%; background-color: rgba(0, 0, 0, 0.5); } .js-needed-message p {color: #444; width: 50%; padding: 30px; position: relative; top: 40%; left: 25%; pointer-events: auto; background-color: #fff; background-clip: padding-box; border: 1px solid rgba(0, 0, 0, 0.2); border-radius: 0.3rem; outline: 0; }

Enable JavaScript in your browser to view this website correctly.

Searcher

Español

Searcher

See main menu

Compartir RRSS Cerrar RRSS

Published on Wednesday, April 25, 2012

Copy link Read later Library

U.S. Economic Watch: ”Common Factors in FX Volatility Term Structures”

Publication Documents and files Authors

Summary

Our principal component model suggests that one factor explains 93% of EURUSD and USDJPY volatility. The data suggests the level shift factor has increased in importance

Access the download of documents and files