Testing the Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options /by José Manuel Campa and P.H. Kevin Chang

Testing the Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options /by José Manuel Campa and P.H. Kevin Chang
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Total Pages : 28
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ISBN-10 : OCLC:78470302
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Book Synopsis Testing the Hypothesis on the Term Structure of Implied Volatilities in Foreign Exchange Options /by José Manuel Campa and P.H. Kevin Chang by : José Manuel Campa

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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