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ARTÍCULO
TITULO

Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil

Marcos Massaki Abe    
Eui Jung Chang    
Benjamin Miranda Tabak    

Resumen

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.

PÁGINAS
pp. pp. 29 - 39
MATERIAS
ECONOMÍA

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