The study provides evidence of the nature of the volatility transmission for daily currency futures contracts traded at … futures contracts and the Japanese yen currency futures contracts are used to study inter-market spillover effects in the non …-overlapping time zones. Employing GARCH specifications, the results find strong volatility transmission only from the IMM to the SIMEX …

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 …

period to alter either the level or the volatility of the $/DM spot rate is examined. Volatility quotes implicit in foreign …