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This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through July 1997. Using options data, we derive implied probability density...
Persistent link: https://www.econbiz.de/10013224319
This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through March 1999. Using options data, we derive implied probability density...
Persistent link: https://www.econbiz.de/10012788770
This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through July 1997. Using options data, we derive implied probability density...
Persistent link: https://www.econbiz.de/10012769225
This paper uses currency option data to investigate market expectations on the Brazilian Real-U.S.Dollar exchange rate from October 1994 through March 1999. The authors derive implied probability density functions for expected future exchange rates and thus measures of the credibility of the...
Persistent link: https://www.econbiz.de/10015122647
This paper uses currency option data from the BMF, the Commodities and Futures exchange in Sao Paulo, Brazil, to investigate market expectations on the Brazilian Real-U.S. dollar exchange rate from October 1994 through July 1997. Using options data, we derive implied probability density...
Persistent link: https://www.econbiz.de/10012471878
Persistent link: https://www.econbiz.de/10013423222