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Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark

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Malz, Allan M.
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 15 (1996)
Issue (Month): 5 (October)
Pages: 717-748
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Handle: RePEc:eee:jimfin:v:15:y:1996:i:5:p:717-748

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  1. Robert R Bliss & Nikolaos Panigirtzoglou, . "Testing the stability of implied probability density functions," Bank of England working papers 114, Bank of England. [Downloadable!]
  2. José Manuel Campa & P.H. Kevin Chang & James F. Refalo, 1999. "An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1997," Working Papers 99-08, New York University, Leonard N. Stern School of Business, Department of Economics. [Downloadable!]
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  3. Hisashi Nakamura & Shigenori Shiratsuka, 1999. "Extracting market expectations from option prices: case studies in Japanese option markets," Working Paper Series WP-99-1, Federal Reserve Bank of Chicago. [Downloadable!]
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  4. Gabriele Galati & Patrick Higgins & Owen F. Humpage & William Melick, 2006. "Option prices, exchange market intervention, and the higher moment expectations channel: a user’s guide," Working Paper 0618, Federal Reserve Bank of Cleveland. [Downloadable!]
  5. Mundaca, Gabriela, 2003. "A Drift of the "Drift Adjustment Method"," Memorandum 16/2002, Oslo University, Department of Economics. [Downloadable!]
  6. Jose M. Campa & P.H. Kevin Chang & Robert L. Reider, 1997. "Implied Exchange Rate Distributions: Evidence from OTC Option Markets," NBER Working Papers 6179, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  7. Guimarães, Bernardo, 2007. "Currency Crisis Triggers: Sunspots or Thresholds?," CEPR Discussion Papers 6487, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  8. Bronka Rzepkowski, 2000. "The Expectations of a Hong Kong Dollar Devaluation and their Determinants," Working Papers 2000-04, CEPII research center. [Downloadable!]
  9. Gabriele Galati & Patrick Higgins & Owen Humpage & William Melick, 2007. "Option prices, exchange market intervention, and the higher moment expectations channel: a user's guide

    The views stated herein are those of the authors and are n," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(2), pages 225-247. [Downloadable!]

  10. Mc Manus, Des, 1999. "The Information Content of Interest Rate Futures Options," Working Papers 99-15, Bank of Canada. [Downloadable!]
  11. Christian Walter & Jose Lopez, 1997. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper 9730, Federal Reserve Bank of New York. [Downloadable!]
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  12. Marie Brière, 2006. "Market Reactions to Central Bank Communication Policies : Reading Interest Rate Options Smiles," Working Papers CEB 06-009.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB). [Downloadable!]
  13. Dean Corbae & Chris Neely & Paul Weller, 1998. "Endogenous realignments and the sustainability of a target," Working Papers 1994-009, Federal Reserve Bank of St. Louis. [Downloadable!]
  14. Jose M. Campa & P. H. Kevin Chang, 1997. "The Forecasting Ability of Correlations Implied in Foreign Exchange Options," NBER Working Papers 5974, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  15. H. Nielsen, . "Extracting implicit density functions from short term interest rate options," Sonderforschungsbereich 373 2001-47, Humboldt Universitaet Berlin.
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