The risk premium of volatility implicit in currency options

Journal of Business and Economic Statistics

Volumn 16, Issue 4, 1998, Pages 498-507

  Guo, Dajiang ^a  

^a Centre Solutions   (United States)

Author keywords

Generalized method of moments; Implied parameter; Market price of variance risk; Predictive power; Stochastic volatility

Indexed keywords

EID: 0032354306     PISSN: 07350015     EISSN: 15372707     Source Type: Journal    
DOI: 10.1080/07350015.1998.10524789     Document Type: Article

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