Option-implied volatility spillovers between onshore and offshore RMB exchange rates
Author:
Affiliation:
1. School of Economics and Finance, Xi’an Jiaotong University, Xi’an, China
2. School of Marxism, Chang’an University, Xi’an, China
Funder
the National Social Science Fund of China
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/00036846.2024.2337781
Reference34 articles.
1. Variance risk premiums in foreign exchange markets
2. Asymmetric connectedness on the U.S. stock market: Bad and good volatility spillovers
3. Option Prices, Implied Price Processes, and Stochastic Volatility
4. Carr, P., and D. Madan. 1998. “Towards a Theory of Volatility Trading.” In Handbooks in Mathematical Finance: Option Pricing, Interest Rates and Risk Management, edited by E. Jouini, J. Cvitanic, and M. Marek, 458–476. Cambridge: Cambridge University Press.
5. The offshore renminbi exchange rate: Microstructure and links to the onshore market
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