Campa is from the Stern School of Business, New York University. Chang is from the Stern School of Business and Wharton School, University of Pennsylvania. For helpful comments, we would like to thank David Bates, John Campbell, Bernard Dumas, Charles Himmelberg, two referees, René Stulz (the editor), and seminar participants at the Wharton Macro and Micro Lunch Workshops, the London School of Economics, and the French Finance Association 1993 Meetings. We would also like to thank the following individuals for invaluable information about market behavior: Richard Holmes of Citibank, Philip Weisberg of JP Morgan, Steve Geovanis of Merrill Lynch, Luke Ding and Terence Tsang of National Westminster Bank, Jeffrey Mehan of Tradition Financial Services, and Sykes Wilford. Any remaining errors are our own.
Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options
Version of Record online: 30 APR 2012
© 1995 the American Finance Association
The Journal of Finance
Volume 50, Issue 2, pages 529–547, June 1995
How to Cite
CAMPA, J. M. and CHANG, P. H. K. (1995), Testing the Expectations Hypothesis on the Term Structure of Volatilities in Foreign Exchange Options. The Journal of Finance, 50: 529–547. doi: 10.1111/j.1540-6261.1995.tb04794.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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