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The predictive power of implied stochastic variance from currency options

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  • Dajiang Guo

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  • Dajiang Guo, 1996. "The predictive power of implied stochastic variance from currency options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(8), pages 915-942, December.
    • Handle: RePEc:wly:jfutmk:v:16:y:1996:i:8:p:915-942
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    Cited by:

    1. Jose A. Lopez & Christian Walter, 1997. "Is implied correlation worth calculating? Evidence from foreign exchange options and historical data," Research Paper 9730, Federal Reserve Bank of New York.
    2. Michael McKenzie & Heather Mitchell & Robert Brooks & Robert Faff, 2001. "Power ARCH modelling of commodity futures data on the London Metal Exchange," The European Journal of Finance, Taylor & Francis Journals, vol. 7(1), pages 22-38.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    4. Shan Lu, 2019. "Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 26(2), pages 129-168, June.

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