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| Author: | Dunis, C. Keller, A. |
| Title: | Efficiency tests with overlapping data: an application to the currency options market |
| Journal: | European Journal of Finance
1995 : DEC, VOL. 1:4, p. 345-366 |
| Index terms: | EFFICIENCY TESTS CURRENCY OPTIONS MARKETS |
| Language: | eng |
| Abstract: | This paper presents the results of an empirical study into the efficiency of the currency options market. The methodology derives from a simple model often applied to the spot and forward markets for foreign exchange. It relates the historic volatility of the underlying asset to the implied volatility of an option on the underlying at a specified prior time and then proceeds to test obvious hypotheses about the values of the coefficients. The study uses panel regression to address the problem of overlapping data which leads to dependence between observations. |
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