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ERM bandwidths for EMU and after: evidence from foreign exchange options

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References

1976Econometric policy evaluation: A critique6,104 cited
1978Prices of State-Contingent Claims Implicit in Option Prices2,209 cited
1983Foreign currency option values1,078 cited
1998Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices1,060 cited
1993The Unstable EMS464 cited

Cited by

2003Arbitrage-free estimation of the risk-neutral density from the implied volatility smile58 cited
2002An options-based analysis of emerging market exchange rate expectations: Brazil's Real Plan, 1994–199939 cited
2001Reading PIBOR futures options smiles: The 1997 snap election37 cited
2012‘Slicing the Value Chain’ Internationally: Empirical Evidence on the Offshoring Strategy by French Firms36 cited
2001Pricing derivatives written on assets with arbitrary skewness and kurtosis28 cited
2001Interpreting the Volatility Smile: An Examination of the Information Content of Option Prices26 cited
2009Estimating risk-neutral density with parametric models in interest rate markets19 cited
1999An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-199719 cited
2005On Intra-firm Trade and Multinationals: Offshoring and Foreign Outsourcing in Manufacturing14 cited

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2020Reshoring of services and employment12 cited