search query: @author Campa, J. / total: 7
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Author: | Campa, J. Chang, K. |
Title: | Testing the expectations hypothesis on the term structure of volatilities in foreign exchange options |
Journal: | Journal of Finance
1995 : JUN, VOL. 50:2, p. 529-548 |
Index terms: | FINANCE FOREIGN EXCHANGE EXPECTATIONS |
Language: | eng |
Abstract: | This article tests the expectations hypothesis in the term structure of volatilities in foreign exchange options. In particular, it addresses whether long-dated volatility quotes are consistent with expected future short-dated volatility quotes, assuming rational expectations. For options observed daily from December 1, 1989 to August 31, 1992 on dollar exchange rates against the pound, mark, yen and Swiss franc, the authors are unable to reject the expectations hypothesis in the great majority of cases. |
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