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Financial Mathematics Seminar
Wednesday, October 17 th 2007, 4:30 - 5:30 PM
University of Cincinnati , Braunstein Hall, Room 325
Hui Guo will speak on
“Idiosyncratic Stock Volatility and Foreign Exchange Rates”
Dr. Guo is an Assistant Professor of Finance in the College of Business at the University of Cincinnati
Abstract : Average idiosyncratic stock volatility forecasts the bilateral exchange rates of the U.S. dollar against major foreign currencies in and out of sample. The U.S. dollar tends to appreciate after an increase in U.S. idiosyncratic volatility. Similarly, ceteris paribus, German and Japanese idiosyncratic volatilities positively and significantly correlate with future U.S. dollar prices of the Deutsche mark and the Japanese yen, respectively.
Based on the joint work with Robert Savickas from the George Washington University .
Financial Mathematics Seminar - Past Events:
Srdjan Stojanovic: “FX Rates, FX Derivatives, and why the Japanese Yen falls when investors ignore risks”, October 3 rd 2007 .