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Volumn , Issue 24, 1997, Pages 53-89

ERM bandwidths for EMU and after: Evidence from foreign exchange options

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Indexed keywords


EID: 0002676186     PISSN: 02664658     EISSN: None     Source Type: Journal    
DOI: 10.1111/1468-0327.00016     Document Type: Article
Times cited : (16)

References (25)
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    • Bertola, G.1    Svensson, L.E.O.2
  • 6
    • 0000516158 scopus 로고
    • Prices of State-Contingent Claims Implicit in Option Prices
    • Breeden, D. and R. Litzenberger (1978). 'Prices of State-Contingent Claims Implicit in Option Prices', Journal of Business.
    • (1978) Journal of Business
    • Breeden, D.1    Litzenberger, R.2
  • 7
    • 84993876578 scopus 로고
    • Testing the Expectations Hypothesis of the Term Structure of Volatilities in Foreign Exchange Options
    • Campa, J.M. and P.H.K. Chang (1995). 'Testing the Expectations Hypothesis of the Term Structure of Volatilities in Foreign Exchange Options', Journal of Finance.
    • (1995) Journal of Finance
    • Campa, J.M.1    Chang, P.H.K.2
  • 8
    • 0030319276 scopus 로고    scopus 로고
    • Arbitrage-Based Tests of Target Zone Credibility: Evidence from ERM Cross-Rate Options
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  • 9
    • 0003033582 scopus 로고
    • Is Europe an Optimum Currency Area? Evidence from Regional Data
    • P. Masson and M. Taylor (eds.), Cambridge University Press, Cambridge and New York
    • DeGrauwe, P. and W. van Haverbeke (1993). 'Is Europe an Optimum Currency Area? Evidence from Regional Data', in P. Masson and M. Taylor (eds.), Polity Issues in the Operating of Currency Unions, Cambridge University Press, Cambridge and New York.
    • (1993) Polity Issues in the Operating of Currency Unions
    • Degrauwe, P.1    Van Haverbeke, W.2
  • 12
    • 0142158369 scopus 로고    scopus 로고
    • Recovering Probability Distributions from Contemporaneous Security Prices
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    • (1996) Journal of Finance
    • Jackwerth, J.C.1    Rubinstein, M.2
  • 14
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    • Econometric Policy Evaluation: A Critique
    • Carl Brunner and Allan Meltzer (eds.), Carnegie-Rochester Conference Series, North-Holland, Amsterdam
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    • Lucas, R.E.1
  • 15
    • 0030268650 scopus 로고    scopus 로고
    • Using Option Prices to Estimate Realignment Probabilities in the European Monetary System: The Case of Sterling-Mark
    • Malz, A.M. (1996). 'Using Option Prices to Estimate Realignment Probabilities in the European Monetary System: The Case of Sterling-Mark', Journal of International Money and Finance.
    • (1996) Journal of International Money and Finance
    • Malz, A.M.1
  • 17
    • 6944229110 scopus 로고    scopus 로고
    • Propensity and Density
    • _ (1996b) 'Propensity and Density', Risk.
    • (1996) Risk
  • 18
    • 0039807035 scopus 로고    scopus 로고
    • Using Options Prices to Infer PDF's for Asset Prices: An Application to Oil Prices during the Gulf Crisis
    • forthcoming
    • Melick, W.R. and C.P. Thomas (1997). 'Using Options Prices to Infer PDF's for Asset Prices: An Application to Oil Prices During the Gulf Crisis', Journal of Financial and Quantitative Analysis, forthcoming.
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  • 19
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    • Department of Economics, Rutgers University, Working Paper No. 96-10
    • Mizrach, B. (1996). 'Did Option Prices Predict the ERM Crises?', Department of Economics, Rutgers University, Working Paper No. 96-10.
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    • Bounds of Probability
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  • 24
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  • 25
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    • (1993) European Economic Review


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.