Anomalies in the foreign exchange returns and implied volatilities
This thesis examines patterns in the FX returns and implied volatilities using daily return and implied volatility data for four major exchange rates for a period of January 1994 to December 2003. The existence of the patterns could indicate that the FX market is not efficient and could provide a ba...
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University of Strathclyde
2009
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.510863 |