Tests of the foreign exchange risk premium using the expected second moments implied by option pricing

The Pricing of Options and Corporate Liabilities

1973 • 29,036 citations

Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation

1982 • 19,770 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Theory of rational option pricing

2005 • 7,870 citations

Theory of Rational Option Pricing

1973 • 7,693 citations

Option pricing: A simplified approach

1979 • 6,128 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

An equilibrium model of the international capital market

1974 • 1,180 citations

Foreign currency option values

1983 • 1,077 citations

A model of international asset pricing

1981 • 846 citations

STANDARD DEVIATIONS OF STOCK PRICE RATIOS IMPLIED IN OPTION PRICES

1976 • 643 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Exchange Rate Theory and Practice

1984 • 506 citations

Using Survey Data to Test Standard Propositions Regarding Exchange Rate Expectations

1986 • 389 citations

Standard deviations implied in option prices as predictors of future stock price variability

1981 • 388 citations

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence

1982 • 379 citations

Anticipated information releases reflected in call option prices

1979 • 346 citations

An investigation of risk and return in forward foreign exchange

1984 • 332 citations

In search of the exchange risk premium: A six-currency test assuming mean-variance optimization

1982 • 313 citations

The pricing of call and put options on foreign exchange

1983 • 289 citations

COMMON STOCK VOLATILITY EXPECTATIONS IMPLIED BY OPTION PREMIA

1978 • 224 citations

Interest rates and risk premia in the stock market and in the foreign exchange market

1987 • 195 citations

A Note on Exchange‐Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis

1981 • 186 citations

On the effects of sterilized intervention

1984 • 161 citations

Tests of rational expectations and no risk premium in forward exchange markets

1984 • 158 citations

The Valuation of Currency Options

1983 • 156 citations

Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test

1984 • 153 citations

Some Joint Tests of the Efficiency of Markets for Forward Foreign Exchange

1979 • 150 citations

Money, Bonds, and Foreign Exchange

2016 • 133 citations

The Calculation of Implied Variances from the Black-Scholes Model: A Note

1982 • 110 citations

Money, bonds and foreign exchange

1979 • 99 citations

A Test of Perfect Substitutability in the Foreign Exchange Market

1982 • 93 citations

International asset pricing with time-varying risk premia

1981 • 92 citations

Valuation of Foreign Currency Options: Some Empirical Tests

1986 • 88 citations

The Portfolio-Balance Model of Exchange Rates and Some Structural Estimates of the Risk Premium (Modele d'equilibre de portefeuilles applique aux taux de change et certaines estimations (structurelles) de la prime de risque) (El modelo de equilibrio de cartera para los tipos de cambio y algunas estimaciones estructurales de la prima de riesgo)

1983 • 78 citations

Efficiency Tests of the Foreign Currency Options Market

1986 • 75 citations

Currency Preferences, Purchasing Power Risks, and the Determination of Exchange Rates in an Optimizing Model

1984 • 75 citations

On the use of European models to price American options on foreign currency

1986 • 67 citations

International Investment and Interest Rate Linkages under Flexible Exchange Rates

1977 • 64 citations

The political economy of monetary reform

1978 • 47 citations

The forward exchange rate and macroeconomics

1982 • 25 citations

The Calculation of Implied Variances from the Black-Scholes Model: A Note

1982 • 23 citations

Portfolio Choice and the Demnand for Forward Exchange

2016 • 16 citations

Covered Interest Arbitrage and Unexploited Profits? Reply

1979 • 16 citations

Small empirical models of exchange market intervention: applications to Germany, Japan, and Canada

1985 • 11 citations

The pricing of foreign currency options

1988 • 11 citations

Alternative specifications of the errors in the Black-Scholes option-pricing model and various implied-variance formulas

1986 • 5 citations