The Volatility Risk Premium Embedded in Currency Options
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 40 (2005)
Issue (Month): 04 (December)
Contact details of provider:
Postal: The Edinburgh Building, Shaftesbury Road, Cambridge CB2 2RU UK
Fax: +44 (0)1223 325150
Web page: http://journals.cambridge.org/jid_JFQProvider-Email:firstname.lastname@example.org
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Hui Guo & Christopher J. Neely & Jason Higbee, 2008.
"Foreign Exchange Volatility Is Priced in Equities,"
Financial Management, Financial Management Association International,
Financial Management Association International, vol. 37(4), pages 769-790, December.
- Ammann, Manuel & Buesser, Ralf, 2013. "Variance Risk Premiums in Foreign Exchange Markets," Working Papers on Finance 1304, University of St. Gallen, School of Finance.
- Alfredo IbÃ¡Ã±ez, 2008. "The cross-section of average delta-hedge option returns under stochastic volatility," Review of Derivatives Research, Springer, Springer, vol. 11(3), pages 205-244, October.
- Christopher J. Neely, 2004.
"Forecasting foreign exchange volatility: why is implied volatility biased and inefficient? and does it matter?,"
Working Papers, Federal Reserve Bank of St. Louis
2002-017, Federal Reserve Bank of St. Louis.
- Neely, Christopher J., 2009. "Forecasting foreign exchange volatility: Why is implied volatility biased and inefficient? And does it matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(1), pages 188-205, February.
- Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2011.
"Spot and forward volatility in foreign exchange,"
Journal of Financial Economics, Elsevier,
Elsevier, vol. 100(3), pages 496-513, June.
- Della Corte, Pasquale & Sarno, Lucio & Tsiakas, Ilias, 2010. "Spot and Forward Volatility in Foreign Exchange," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7893, C.E.P.R. Discussion Papers.
- Kedar-Levy, Haim & Yu, Xiaoyan & Kamesaka, Akiko & Ben-Zion, Uri, 2010. "The impact of daily return limit and segmented clientele on stock returns in China," International Review of Financial Analysis, Elsevier, vol. 19(4), pages 223-236, September.
- Gabriele Galati & Patrick Higgins & Owen Humpage & William Melick, 2007.
"Option prices, exchange market intervention, and the higher moment expectations channel: a user's guide,"
International Journal of Finance & Economics, John Wiley & Sons, Ltd.,
John Wiley & Sons, Ltd., vol. 12(2), pages 225-247.
- Gabriele Galati & Patrick Higgins & Owen F. Humpage & William Melick, 2006. "Option prices, exchange market intervention, and the higher moment expectations channel: a userâ€™s guide," Working Paper 0618, Federal Reserve Bank of Cleveland.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Keith Waters).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.