Charoenwong, Charlie; Jenwittayaroje, Nattawut; Low, … - In: Journal of Futures Markets 29 (2009) 3, pp. 270-295
We use four currency pairs from October 1, 2001 to September 29, 2006 to compare the predictive power of the implied volatility derived from currency option prices that are traded on the Philadelphia Stock Exchange (PHLX), Chicago Mercantile Exchange (CME), and over‐the‐counter market (OTC)....