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Tests of the foreign exchange risk premium using the expected second moments implied by option pricing
16 references·4 citing·34 second hop
Tests of the foreign exchange risk premium using the expected second moments implied by option pricing (1988)Tests of the foreign exchange risk premiu…Theory of rational option pricing (2005)Theory of rational option pri…Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations (1986)Using Survey Data to Test Sta…Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Using Survey Data to Test Som…Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Exchange Rate Theory and Practice (1984)Exchange Rate Theory and Prac…Foreign currency option values (1983)Foreign currency option valuesInternational Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence (1982)International Interest-Rate a…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Standard deviations implied in option prices as predictors of future stock price variability (1981)Standard deviations implied i…A model of international asset pricing (1981)A model of international asse…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Option pricing: A simplified approach (1979)Option pricing: A simplified …STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES (1976)STANDARD DEVIATIONS OF STOCK …An equilibrium model of the international capital market (1974)An equilibrium model of the i…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…The forward rate unbiasedness hypothesis revisited (2002)The forward rate unbiasedness…Do Implied Volatilities Provide Early Warning of Market Stress? (2000)Do Implied Volatilities Provi…Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads (1994)Anticipations of Foreign Exch…International asset pricing and equity market risk (1991)International asset pricing a…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)A Note on Uncertainty and Indifference Curves (1969)Home Bias at Home: Local Equity Preference in Domestic Portfolios (1999)Size, value, and momentum in international stock returns (2012)… and the Cross-Section of Expected Returns (2015)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)Expectations and Exchange Rate Dynamics (1976)Forward and spot exchange rates (1984)Anomalies: Foreign Exchange (1990)ARCH modeling in finance (1992)The use of technical analysis in the foreign exchange market (1992)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)Are Government Bonds Net Wealth? (1974)Empirical Tests of the Consumption‐Oriented CAPM (1989)The World Price of Foreign Exchange Risk (1995)International Asset Pricing and Portfolio Diversification with Time-Varying Risk (1997)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Efficient Analytic Approximation of American Option Values (1987)Arbitrage Theory in Continuous Time (2004)Carry Trades and Global Foreign Exchange Volatility (2012)Martingales and stochastic integrals in the theory of continuous trading (1981)Evaluating Natural Resource Investments (1985)Irreversibility, Uncertainty, and Investment (1990)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1979Option pricing: A simplified approach6,103 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1974An equilibrium model of the international capital market1,130 cited
  • 1983Foreign currency option values1,078 cited
  • 1981A model of international asset pricing807 cited
  • 1985Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations738 cited
  • 1976STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES642 cited
  • 1984Exchange Rate Theory and Practice498 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1986Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations432 cited
  • 1981Standard deviations implied in option prices as predictors of future stock price variability371 cited

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  • 1982International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence369 cited
  • Cited by

    • 2000Do Implied Volatilities Provide Early Warning of Market Stress?38 cited
    • 1991International asset pricing and equity market risk33 cited
    • 1994Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads30 cited
    • 2002The forward rate unbiasedness hypothesis revisited19 cited