Crash Risk in Currency Markets
收藏NBER2009-06-01 更新2025-01-04 收录
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https://www.nber.org/papers/w15062
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Since the fall of 2008, option smiles have been clearly asymmetric: out-of-the-money currency options point to large expected exchange rate depreciations (appreciations) for high (low) interest rate currencies, suggesting that disaster risk is priced in currency markets. To study the price of
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美国国家经济研究局创建时间：
2009-06-01
