Czech Koruna and Polish Zloty Currency Options : Information Contnent and Eu-Accession Implications

Information Contnent and Eu-Accession Implications

Czech Koruna and Polish Zloty Currency Options : Information Contnent and Eu-Accession Implications
Currency option implied volatility predicts more efficiently exchange rate volatility for the Polish zloty relative to the Czech koruna, reflecting differences in the frequency of central bank intervention in the foreign exchange market. A GARCH model shows a positive impact of the introduction of the Euro on exchange rate volatility for the... READ MORE...

Publication date: June 2000
ISBN 9781451851502
$15.00

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