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A note on the impact of scheduled macroeconomic news announcements on implied volatility

Vähämaa, Sami - In: Applied economics letters 16 (2009) 16/18, pp. 1783-1789

Persistent link: https://www.econbiz.de/10003932429

Cross-dynamics of volatility term structures implied by foreign exchange options

Krylova, Elizaveta; Nikkinen, Jussi; Vähämaa, Sami - 2005

This paper examines the cross-dynamics of volatility term structures implied by foreign exchange options. The data used in the empirical analysis consist of daily observations of implied volatilities for OTC options on the euro, Japanese yen, British pound, Swiss franc, and Canadian dollar,...

Persistent link: https://www.econbiz.de/10011604576

Central bank interventions and implied exchange rate correlations

Nikkinen, Jussi; Vähämaa, Sami - In: Journal of empirical finance 16 (2009) 5, pp. 862-873

Persistent link: https://www.econbiz.de/10003900417

Cross-dynamics of exchange rate expectations : a wavelet analysis

Nikkinen, Jussi; Pynnönen, Seppo; Ranta, Mikko; … - In: International journal of finance & economics : IJFE 16 (2011) 3, pp. 205-217

Persistent link: https://www.econbiz.de/10009408606

Cross-dynamics of volatility term structures implied by foreign exchange options

Krylova, Elizaveta (contributor); … - 2005

Persistent link: https://www.econbiz.de/10003117231

Implied volatility linkages among major European currencies

Nikkinen, Jussi; Sahlström, Petri; Vähämaa, Sami - In: Journal of international financial markets, … 16 (2006) 2, pp. 87-103

Persistent link: https://www.econbiz.de/10003300788

Cross-dynamics of volatility term structures implied by foreign exchange options

Krylova, Elizaveta; Nikkinen, Jussi; Vähämaa, Sami - In: Journal of economics & business 61 (2009) 5, pp. 355-375

Persistent link: https://www.econbiz.de/10003882032

Implied volatility linkages among major European currencies

Nikkinen, Jussi; Sahlström, Petri; Vähämaa, Sami - In: Essays on option-implied information, (pp. 113-137). 2004

Persistent link: https://www.econbiz.de/10002466584

Evaluating publications across business disciplines : inferring interdisciplinary "exchange rates" from intradisciplinary author rankings

Korkeamaki, Timo P.; Sihvonen, Jukka; Vähämaa, Sami - In: Journal of business research : JBR 84 (2018), pp. 220-232

Persistent link: https://www.econbiz.de/10011802922

Central Bank Interventions and Implied Exchange Rate Correlations

Nikkinen, Jussi - 2011

This paper examines the effects of the foreign exchange market interventions by the Bank of Japan on the ex ante correlations between the JPY/USD, EUR/USD, and GBP/USD exchange rates. The correlation estimates used in the analysis are derived from the market prices of OTC currency options. The...

Persistent link: https://www.econbiz.de/10013131457