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Recoverıng rısk-neutral densıtıes from exchange rate optıons: Evıdence ın turkey

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dc.contributor.author Aydın, Halil İbrahim
dc.contributor.author Değerli, Ahmet
dc.contributor.author Özlü, Pınar
dc.date.accessioned 2019-06-27T12:44:11Z
dc.date.available 2019-06-27T12:44:11Z
dc.date.issued 2009
dc.identifier.citation Aydın, Hİ. Değerli, A. Özlü, P. (2009). Recoverıng rısk-neutral densıtıes from exchange rate optıons: Evıdence ın turkey. 1-19 ss. tr_TR
dc.identifier.uri http://hdl.handle.net/11616/12205
dc.description.abstract This paper uses over-the-counter currency options data to investigate market expectations on Turkish Lira-U.S. Dollar exchange rate. We extract option implied density functions to examine the evolution of market sentiment over the possible values of future exhange rates. Uncertainty is well measured by option-implied probabilities. Estimated densities for selected days point out an increase in uncertainty in foreign exchange market during financial turbulence periods. We make inferences about the effectiveness of policy measures and see how the market perception changed throughout the crisis. We uncover the effectiveness of policy measures by observing shrinking densities and confidence bands. tr_TR
dc.language.iso eng tr_TR
dc.publisher İnönü Üniversitesi İktisadi ve İdari Bilimler Fakültesi tr_TR
dc.rights info:eu-repo/semantics/openAccess tr_TR
dc.subject Options tr_TR
dc.subject Risk neutral density tr_TR
dc.subject Market expectations tr_TR
dc.title Recoverıng rısk-neutral densıtıes from exchange rate optıons: Evıdence ın turkey tr_TR
dc.type bookPart tr_TR
dc.contributor.department İnönü Üniversitesi tr_TR
dc.identifier.volume 0 tr_TR
dc.identifier.issue 0 tr_TR
dc.identifier.startpage 1 tr_TR
dc.identifier.endpage 19 tr_TR


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