the pricing of European-style foreign currency options and for the volatility strike structure implicit in these contracts … is devoloped. The curvature of the volatility strike structure is explained by focusing attention on the expected … characteristic convex shape of volatility strike structures documented in the empirical literature. A volatility-based test for …

-entrance in January 2001 this paper develops a rigorous estimation procedure. The estimates provide statistical evidence of … increased central bank intervention activities in the run-up to the Greek EMU entrance. Thus the modelling and estimation …

Market analysts and central banks often use the implied volatility of FX options as an indicator of expected exchange … deviate the value of implied volatility from the exchange rate variability expected by the market. These biasing factors are … one month. However, implied volatility provides a biased estimate, and does not encompass the information included in …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous …

, Canada, Japan, Korea and Switzerland in terms of the US dollar. The empirical results indicate that there is a positive … relationship between currency futures trading activity and spot volatility. Moreover, in the case of four out of the total of five … currencies discussed in this paper, futures trading activity adds significantly to spot volatility. …