Does implied volatility of currency futures option imply volatility of exchange rates?
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- Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009. "Cross-dynamics of volatility term structures implied by foreign exchange options," Journal of Economics and Business, Elsevier, vol. 61(5), pages 355-375, September.
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KeywordsOption; Implied volatility; GARCH;
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