Cross-dynamics of exchange rate expectat
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Jussi Nikkinen; Seppo PynnΓΆnen; Mikko Ranta; Sami VΓ€hΓ€maa
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Article
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2010
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John Wiley and Sons
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English
β 135 KB
π 1 views
This paper focuses on the cross-dynamics of exchange rate expectations over different time-scales. We use overthe-counter currency options on the euro, Japanese yen, and British pound vis-a`-vis the U.S. dollar to extract expected probability density functions of future exchange rates, and apply rec