Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies

Testing the Informational Efficiency of OTC Optionson Emerging Market Currencies
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 READ MORE...

Publication date: January 2003
ISBN 9781451841657
$15.00

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