The forecast ability of risk-neutral 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.
- 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.
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- Gomes, Frederico Pechir & Takami, Marcelo Yoshio & Brandi, Vinicius Ratton, 2008. "Investigating Unusual Changes in Real-Dollar Exchange Rate," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 62(2), October.
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"Option prices, exchange market intervention, and the higher moment expectations channel: a user's guide,"
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More about this item
KeywordsForeign exchange futures ; Options (Finance) ; Economic forecasting;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2005-05-23 (All new papers)
- NEP-CFN-2005-05-23 (Corporate Finance)
- NEP-ETS-2005-05-23 (Econometric Time Series)
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