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Arbitrage-Based Tests of Target Zone Credibility: Evidence from ERM Cross-Rate Options.

Campa, J.M.; Chang, P.H.K. - Graduate School of Business, Columbia University - 1995

Persistent link: https://www.econbiz.de/10005776749

The forecasting ability of correlations implied in foreign exchange options

Campa, J.M.; Chang, P.H.K. - In: Journal of international money and finance 17 (1998) 6, pp. 855-880

Persistent link: https://www.econbiz.de/10006916915

Implied exchange rate distributions: Evidence from OTC option markets

Campa, J.M.; Chang, P.H.K.; Reider, R.L. - In: Journal of international money and finance 17 (1998) 1, pp. 117-160

Persistent link: https://www.econbiz.de/10006918768

ERM Realignment Risk and its Economic Determinants as Reflected in Cross-rate Options

Campa, J.M.; Chang, P.H.K. - In: The economic journal : the journal of the Royal … 108 (1998) 449, pp. 1046-1066

Persistent link: https://www.econbiz.de/10007533180

An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999.

Campa, J.M.; Chang, P.H.K.; Refalo, J.F. - Centro de Estudios Monetarios y Financieros (CEMFI) - 2000

This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density...

Persistent link: https://www.econbiz.de/10005625762

ARTICLES - Methodical Madness: Technical Analysis and the Irrationality of Exchange-Rate Forecasts

Chang, P.H.K.; Osler, C.L. - In: The economic journal : the journal of the Royal … 109 (1999) 458, pp. 636-661

Persistent link: https://www.econbiz.de/10007515307