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Where Would the EUR/CHF Exchange Rate Be Without the SNB's Minimum Exchange Rate Policy?
5 references·7 citing·38 second hop
Where Would the EUR/CHF Exchange Rate Be Without the SNB's Minimum Exchange Rate Policy? (2013)Where Would the EUR/CHF Exchange Rate Be …Implied exchange rate distributions: evidence from OTC option markets (1998)Implied exchange rate distrib…How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1 (1998)How big is the premium for cu…Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark (1996)Using option prices to estima…Foreign currency option values (1983)Foreign currency option valuesThe valuation of compound options (1979)The valuation of compound opt…Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes (2019)Revisiting the weak-form effi…Information Revelation in Decentralized Markets (2019)Information Revelation in Dec…Verbal interventions and exchange rate policies: The case of Swiss franc cap (2018)Verbal interventions and exch…The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach (2018)The CHF/EUR exchange rate dur…On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective (2017)On the Credibility of the Eur…Swiss franc's one-sided target zone during 2011–2015 (2016)Swiss franc's one-sided targe…Financial Markets’ Views about the Euro-Swiss Franc Floor (2016)Financial Markets’ Views abou…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Stock returns and volatility in emerging financial markets (1997)On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach (2003)Stock prices and exchange rate dynamics (2005)The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)Reading the smile: the message conveyed by methods which infer risk neutral densities (2000)Option-Implied Risk-Neutral Distributions and Risk Aversion (2004)Theory of rational option pricing (2005)Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options (2007)Determinants of corporate borrowing (1977)Option values under stochastic volatility: Theory and empirical estimates (1987)THE GARCH OPTION PRICING MODEL (1995)Arbitrage Theory in Continuous Time (2004)Prices of State-Contingent Claims Implicit in Option Prices (1978)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Crash Risk in Currency Markets (2009)Estimating the Implied Risk‐Neutral Density for the US Market Portfolio* (2010)Volatility risk premia and exchange rate predictability (2016)Theory of Financial Decision Making. (1988)Empirical Performance of Alternative Option Pricing Models (1997)Fractional Brownian Motions, Fractional Noises and Applications (1968)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Time-dependent lead-lag relationships between the VIX and VIX futures markets (2020)Risk, Return, and Equilibrium: Empirical Tests (1973)Continuous Auctions and Insider Trading (1985)Estimating Standard Errors in Finance Panel Data Sets: Comparing Approaches (2008)Network Structure and Pricing in the FX Market (2020)Mean Reversion in Stock Prices? A Reappraisal of the Empirical Evidence (1991)Target Zones and Exchange Rate Dynamics (1991)The Adjustment of Stock Prices to New Information (1969)Measuring security price performance (1980)Efficient Analytic Approximation of American Option Values (1987)Carry Trades and Global Foreign Exchange Volatility (2012)
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References

  • 1979The valuation of compound options1,107 cited
  • 1983Foreign currency option values1,078 cited
  • 1998How big is the premium for currency risk?1We thank Geert Bekaert, Tim Bollerslev, Peter Bossaerts, Mark Carhart, John Cochrane, Magnus Dahlquist, Wayne Ferson, Linda Goldberg, Campbell Harvey, Pierre Hillion, Robert Hodrick (the referee), Olivier Ledoit, John Matsusaka, Hans Mikkelsen, Angel Serrat and Ivo Welch, as well as workshop participants at INSEAD, University of California at Los Angeles, University of Southern California, University of Rochester, Southern Methodist University, University of California – Irvine, Koc University and participants at the 1996 UBC Global Investment Conference (Whistler, BC), 1996 Western Finance Association meetings (Sunriver, OR), 1996 European Finance Association meetings (Oslo, Norway), 1996 NBER Asset Pricing meeting (Evanston, IL), and the 1997 Econometric Society winter meetings (New Orleans, LA) for their comments. The paper was written while the second author was visiting the Anderson School at UCLA. Both authors acknowledge the financial support of a CIBEAR grant.1506 cited
  • 1998Implied exchange rate distributions: evidence from OTC option markets210 cited
  • 1996Using option prices to estimate realignment probabilities in the European Monetary System: the case of sterling-mark135 cited

Cited by

  • 2019Revisiting the weak-form efficiency of the EUR/CHF exchange rate market: Evidence from episodes of different Swiss franc regimes32 cited
  • 2019Information Revelation in Decentralized Markets32 cited
  • 2017On the Credibility of the Euro/Swiss Franc Floor: A Financial Market Perspective31 cited
  • 2016Swiss franc's one-sided target zone during 2011–201529 cited
  • 2018Verbal interventions and exchange rate policies: The case of Swiss franc cap

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24 cited
  • 2018The CHF/EUR exchange rate during the Swiss National Bank's minimum exchange rate policy: a latent likelihood approach23 cited
  • 2016Financial Markets’ Views about the Euro-Swiss Franc Floor19 cited