Testing the Expectations Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options

Testing the Expectations Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options
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Total Pages : 28
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ISBN-10 : OCLC:30592656
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Book Synopsis Testing the Expectations Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options by : José Campa

Download or read book Testing the Expectations Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options written by José Campa and published by . This book was released on 1994 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:


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Testing the Expectations Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options
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This paper tests the expectations hypothesis in the term structure of volatilities in foreign exchange options. In particular, it addresses whether long-dated v
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Using a stochastic volatility option pricing model, we show that the implied volatilities of at-the-money options are not necessarily unbiased and that the fixe