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|Title:||Implied volatility asymmetries in currency options.||Authors:||Lee, Swee Chee.
Tan, Teck Woon.
Yip, Yew Tong.
|Keywords:||DRNTU::Business::Finance::Options||Issue Date:||2001||Abstract:||Previous studies find evidence of asymmetric risk-return relationship in the stock market. In this paper, we extend the studies by testing for the presence of asymmetry in the conditional relationship between the perception of risk, proxied by the implied volatility of over-the-counter currency options, and the contemporaneous conditions of the currency market.||URI:||http://hdl.handle.net/10356/7427||Rights:||Nanyang Technological University||Fulltext Permission:||restricted||Fulltext Availability:||With Fulltext|
|Appears in Collections:||NBS Theses|
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