empirical results demonstrate that the renminbi non-deliverable forward (NDF) has been a driver of various Asian currency …This paper uses multivariate GARCH techniques to study volatility spillovers between the Chinese non …

In line with the deepening of the derivative foreign-exchange market in Hong Kong, we recover risk-neutral probability … densities for future US dollar/offshore renminbi exchange rates as implied by exchange rate option prices. The risk …-neutral densities (RND) approach is shown to be useful in analyzing market sentiment and risk aversion in the renminbi market. We …

displays considerable persistence. Our analysis provides evidence that the knock-on effects from China's currency forwards …