A copy of this work was available on the public web and has been preserved in the Wayback Machine. The capture dates from 2019; you can also visit the original URL.
The file type is
In this novel study, I investigate whether option implied volatility and implied volatility skew contain information capable of elucidating, in an ex-ante manner, the probability of exceptional foreign exchange price fluctuations. I study four of the most widely traded currency pairs and their corresponding options over varying option maturities and distinct definitions of volatility skew and price jumps, each over the period 1 Jan 2007 to 18 November 2013. I find significant evidence of suchdoi:10.5539/ijef.v6n6p70 fatcat:d3v2ywow3bh3dm5kafx4cbhz4e