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Conditional volatility and the informational efficiency of the PHLX currency options market

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  • Xu, Xinzhong
  • Taylor, Stephen J.

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  • Xu, Xinzhong & Taylor, Stephen J., 1995. "Conditional volatility and the informational efficiency of the PHLX currency options market," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 803-821, August.
    • Handle: RePEc:eee:jbfina:v:19:y:1995:i:5:p:803-821
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    References listed on IDEAS

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    1. Kuldeep Shastri & Kulpatra Wethyavivorn, 1987. "The Valuation Of Currency Options For Alternate Stochastic Processes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 10(4), pages 283-293, December.
    2. Poon, Ser-Huang & Taylor, Stephen J., 1992. "Stock returns and volatility: An empirical study of the UK stock market," Journal of Banking & Finance, Elsevier, vol. 16(1), pages 37-59, February.
    3. Baillie, Richard T. & DeGennaro, Ramon P., 1990. "Stock Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 203-214, June.
    4. Baillie, Richard T & Bollerslev, Tim, 2002. "The Message in Daily Exchange Rates: A Conditional-Variance Tale," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 60-68, January.
    5. Scott, Elton & Tucker, Alan L., 1989. "Predicting currency return volatility," Journal of Banking & Finance, Elsevier, vol. 13(6), pages 839-851, December.
    6. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    7. Chiras, Donald P. & Manaster, Steven, 1978. "The information content of option prices and a test of market efficiency," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 213-234.
    8. Canina, Linda & Figlewski, Stephen, 1993. "The Informational Content of Implied Volatility," Review of Financial Studies, Society for Financial Studies, vol. 6(3), pages 659-681.
    9. Lumsdaine, Robin L, 1995. "Finite-Sample Properties of the Maximum Likelihood Estimator in GARCH(1,1) and IGARCH(1,1) Models: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(1), pages 1-10, January.
    10. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
    11. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    12. Heynen, Ronald & Kemna, Angelien & Vorst, Ton, 1994. "Analysis of the Term Structure of Implied Volatilities," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(1), pages 31-56, March.
    13. Stein, Jeremy, 1989. " Overreactions in the Options Market," Journal of Finance, American Finance Association, vol. 44(4), pages 1011-1023, September.
    14. Barone-Adesi, Giovanni & Whaley, Robert E, 1987. "Efficient Analytic Approximation of American Option Values," Journal of Finance, American Finance Association, vol. 42(2), pages 301-320, June.
    15. Xu, Xinzhong & Taylor, Stephen J., 1994. "The Term Structure of Volatility Implied by Foreign Exchange Options," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(1), pages 57-74, March.
    16. Lamoureux, Christopher G & Lastrapes, William D, 1993. "Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities," Review of Financial Studies, Society for Financial Studies, vol. 6(2), pages 293-326.
    17. Sheikh, Aamir M., 1991. "Transaction Data Tests of S&P 100 Call Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(4), pages 459-475, December.
    18. Shastri, Kuldeep & Tandon, Kishore, 1986. "An Empirical Test of a Valuation Model for American Options on Futures Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(4), pages 377-392, December.
    19. Akgiray, Vedat, 1989. "Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts," The Journal of Business, University of Chicago Press, vol. 62(1), pages 55-80, January.
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