Read Testing the Informational Efficiency of OTC Options on Emerging Market Currencies

Testing the Informational Efficiency of OTC Options on Emerging Market Currencies

Armando Méndez Morales

4.9/5 (22410 ratings)

Description:This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It finds that these markets are more efficient than mature markets possibly because of higher relative participation of informed dedicated investors, which offset the effects of relative illiquidity and higher transaction costs in these countries. Moreover, implied volatilities generally anticipate the direction of volatility correctly, with a bias to overpredicting volatility increases reflecting one-sided markets.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Testing the Informational Efficiency of OTC Options on Emerging Market Currencies. To get started finding Testing the Informational Efficiency of OTC Options on Emerging Market Currencies, you are right to find our website which has a comprehensive collection of manuals listed.
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Pages: 26

Format: PDF, EPUB & Kindle Edition

Publisher: Not Avail

Release: 2003

ISBN: 6613783854

Description: This paper analyzes the informational efficiency of OTC currency options on the Czech koruna and the Polish zloty correcting for the volatility risk premium and errors-in-variable problems, using state-of-the-art techniques (Chernov 2001). It finds that these markets are more efficient than mature markets possibly because of higher relative participation of informed dedicated investors, which offset the effects of relative illiquidity and higher transaction costs in these countries. Moreover, implied volatilities generally anticipate the direction of volatility correctly, with a bias to overpredicting volatility increases reflecting one-sided markets.We have made it easy for you to find a PDF Ebooks without any digging. And by having access to our ebooks online or by storing it on your computer, you have convenient answers with Testing the Informational Efficiency of OTC Options on Emerging Market Currencies. To get started finding Testing the Informational Efficiency of OTC Options on Emerging Market Currencies, you are right to find our website which has a comprehensive collection of manuals listed.
Our library is the biggest of these that have literally hundreds of thousands of different products represented.

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Testing the Informational Efficiency of OTC Options on Emerging Market Currencies

Testing the Informational Efficiency of OTC Options on Emerging Market Currencies

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