Implied volatility dynamics in the foreign exchange markets

@inproceedings{Kim2003ImpliedVD,
  title={Implied volatility dynamics in the foreign exchange markets},
  author={Minho Kim and Minchoul Kim},
  year={2003}
}
Abstract The purpose of this study is to examine the dynamics of implied volatilities derived from the major currency options on futures. Several studies have examined the properties of implied volatilities in the equity and interest markets. However, very little is known about the dynamics of implied volatilities derived from the currency options markets, which is the subject of this paper. The results show that participants in the currency market tend to expect higher future volatility when… CONTINUE READING

Citations

Publications citing this paper.
SHOWING 1-10 OF 18 CITATIONS

Essays in International Finance and the Global Financial Crisis

VIEW 5 EXCERPTS
CITES RESULTS & BACKGROUND
HIGHLY INFLUENCED

Towards Decoding Currency Volatilities

VIEW 6 EXCERPTS
CITES RESULTS & BACKGROUND
HIGHLY INFLUENCED

The impact of news announcements on volatility spillovers : International evidence from implied volatility markets *

  • George J. Jianga, Eirini Konstantinidib, George Skiadopoulosc
  • 2010
VIEW 2 EXCERPTS
CITES BACKGROUND