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Conditional volatility and the informational efficiency of the PHLX currency options market

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References

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2002The Message in Daily Exchange Rates791 cited
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1994MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY646 cited
1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
1993Forecasting Stock-Return Variance: Toward an Understanding of Stochastic Implied Volatilities529 cited
1989Modeling Heteroscedasticity in Daily Foreign-Exchange Rates505 cited

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1978

The information content of option prices and a test of market efficiency

485 cited

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