Option volume, strike distribution, and foreign exchange rate movements
Year of publication: |
2008
|
---|---|
Authors: | Cassano, Mark A. ; Han, Bing |
Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 30.2008, 1, p. 49-67
|
Subject: | Währungsderivat | Currency derivative | Deutsche Mark | Pfund Sterling | Pound Sterling | Signalling | Handelsvolumen der Börse | Trading volume | Wechselkurs | Exchange rate | Prognoseverfahren | Forecasting model | USA | United States | 1983-2006 |
-
An error-correction model for forecasting changes in foreign currency futures spreads
Wilcox, Stephen E., (2007)
-
Chung, Chang K., (1992)
-
The time variation of expected returns and volatility in foreign-exchange markets
Bekaert, Geert, (1995)
- More ...
-
Learning and mean reversion in asset returns
Cassano, Mark A., (1999)
-
How Well Can Options Complete Markets?
Cassano, Mark A., (2001)
-
Disagreement and Equilibrium Option Trading Volume
Cassano, Mark A., (2002)
- More ...