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Predictable dynamics in implied volatility surfaces from OTC currency options · Study

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ArticlePredictable dynamics in implied volatility surfaces from OTC currency options

George Chalamandaris2009

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Articlegreen2009

Predictable dynamics in implied volatility surfaces from OTC currency options

George Chalamandaris · Andrianos Ε. Tsekrekos

36 citations·0/0 files stored·Journal of Banking & Finance

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1973The Pricing of Options and Corporate Liabilities 2003Testing for unit roots in heterogeneous panels 2002Unit root tests in panel data: asymptotic and finite-sample properties 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1994Comparing Predictive Accuracy 2002Determining the Number of Factors in Approximate Factor Models 2002Forecasting Using Principal Components From a Large Number of Predictors

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Year2009

Typearticle

Published2009-11-17

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations36

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.jbankfin.2009.11.014

openalex_workW2047324313

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