The empirical performance of option-based densities of foreign exchange
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References listed on IDEAS
- Breeden, Douglas T & Litzenberger, Robert H, 1978. "Prices of State-contingent Claims Implicit in Option Prices," The Journal of Business, University of Chicago Press, vol. 51(4), pages 621-651, October.
- Figlewski, Stephen & Gao, Bin, 1999.
"The adaptive mesh model: a new approach to efficient option pricing,"
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- Stephen Figlewski & Bin Gao, 1998. "The Adaptive Mesh Model: A New Approach to Efficient Option Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 98-032, New York University, Leonard N. Stern School of Business-.
- Clements, Michael P. & Smith, Jeremy, 2001. "Evaluating forecasts from SETAR models of exchange rates," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 133-148, February.
- Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-883, November.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2004-01-18 (All new papers)
- NEP-CMP-2004-01-18 (Computational Economics)
- NEP-ETS-2004-01-18 (Econometric Time Series)
- NEP-FIN-2004-01-18 (Finance)
- NEP-FMK-2004-01-18 (Financial Markets)
- NEP-IFN-2004-01-18 (International Finance)
- NEP-RMG-2004-01-18 (Risk Management)
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