Implied exchange rate distributions: evidence from OTC option markets-Reference-Cited by-同舟云学术

Implied exchange rate distributions: evidence from OTC option markets

Published:1998-02 Issue:1 Volume:17 Page:117-160
ISSN:0261-5606
Container-title:Journal of International Money and Finance
language:en
Short-container-title:Journal of International Money and Finance

Author:

Campa José M,Chang P.H.Kevin,Reider Robert L

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference37 articles.

1. Using Eurodollar futures options: gauging the market's view of interest rate movements;Abken;Econ. Rev.,1995

2. Ait-Sahalia, Y., Lo, A.W., 1995. Nonparametric estimation of state-price densities implicit in financial asset prices. Working Paper.

3. Bank for International Settlements, 1996. Central Bank Survey of Foreign Exchange Market Activity in April 1995. Bank for International Settlements, Basel.

4. The crash of '87: was it expected?;Bates;J. Finance,1991

5. Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options;Bates;J. Int. Money Finance,1996

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