Currency jumps, Euribor-OIS spreads and the volatility skew : a study on the dollar-euro crash risk of 2007-2015
Year of publication: |
2019
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Authors: | Wong, Alfred Y. |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 29.2019, p. 7-16
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Subject: | Euribor-OIS spreads | Volatility skew | Jumps in exchange rates | Volatilität | Volatility | Wechselkurs | Exchange rate | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Theorie | Theory | Börsenkurs | Share price | Kapitaleinkommen | Capital income |
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