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Published on Wednesday, April 25, 2012

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

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

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Report (PDF)

120425_EconomicWatchEEUU_160_esp_tcm346-315305.pdf Spanish April 25, 2012
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Report (PDF)

120425_EconomicWatchEEUU_160_tcm348-315305.pdf English April 25, 2012
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