Takezawa, Nobuya; Shiraishi, Noriyoshi - In: Asia-Pacific Financial Markets 5 (1998) 3, pp. 227-236
This paper tests the relationship between short dated and long dated implied volatilities obtained from Tokyo market currency option prices by employing three different volatility models: a mean reverting model, a GARCH model, and an EGARCH model. We document evidence that long dated average...