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Tests of the foreign exchange risk premium using the expected second moments implied by option pricing

  • Published:1988-03 Issue:1 Volume:7 Page:91-108
  • ISSN:0261-5606
  • Container-title:Journal of International Money and Finance
  • language:en
  • Short-container-title:Journal of International Money and Finance

Author:

Lyons Richard K.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference48 articles.

1. Portfolio Choice and the Demand for Forward Exchange;Adler;American Economic Review Proceedings,1976

2. Standard Deviations Implied in Option Prices as Predictors of Future Stock Price Variability;Beckers;Journal of Banking and Finance,1981

3. The Valuation of Currency Options;Biger;Financial Management,1983

4. The Pricing of Options and Corporate Liabilities;Black;Journal of Political Economy,1973

5. Efficiency Tests of the Foreign Currency Options Market;Bodurtha;The Journal of Finance,1986

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1. Monetary Policy Without Moving Interest Rates: The Fed Non-Yield Shock;SSRN Electronic Journal;2024

2. TESTING FOR THE PRESENCE OF TIME-VARYING RISK PREMIUM USING A MEAN-CONDITIONAL-VARIANCE OPTIMIZATION MODEL†;Oxford Bulletin of Economics and Statistics;2009-05-01

3. References;Exchange Rate Economics;2007-05-10

4. Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations;Journal of International Money and Finance;2006-11

5. Errors in Implied Volatility Estimation;The Journal of Financial and Quantitative Analysis;2003-12
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