Showing 1 - 5 of 5
This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...
Persistent link: https://www.econbiz.de/10011604576
Persistent link: https://www.econbiz.de/10003882032
Persistent link: https://www.econbiz.de/10003300788
Persistent link: https://www.econbiz.de/10002466584
This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...
Persistent link: https://www.econbiz.de/10003117231