Rzepkowski, Bronka - In: Revue économique 52 (2001) 2, pp. 285-301
This paper uses over-the-counter currency options on the Hong Kong dollar to estimate the expected probability and intensity of a Hong Kong dollar devaluation over a one-month horizon, from February 1997 to the end of 1998. Addressing the issue of the determinants driving these anticipations, it...