Regime switching in foreign exchange rates : Evidence from currency option prices

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Stochastic Risk Premiums, Stochastic Skewness in Currency Options, and Stochastic Discount Factors in International Economies (2008, unknown): “Since a large portion of currency return movements is independent of interest rate movements (Backus, Foresi, and Telmer (2001) and Brandt and Santa-Clara (2002)) and stochastic interest rates have little impact on short-term currency option prices (Bates (1996)), we assume deterministic interest ra”
Stochastic Skew in Currency Options (2007, unknown): “Bollen (1998) and Bollen, Gray, and Whaley (2000) propose regime-switching models for currency option pricing.”
Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock (2011, methodology): “…used in modelling different classes of asset prices, including stock, option, foreign exchange, interest rate, etc. (among others, see Cai (1994), Bollen et al. (2000), Cheung and Erlandsson (2005), Driffill and Sola (1998), Duan et al. (2002), Froot and Obstfeld (1991), Hansen and Poulsen…”
Regime Changes and Financial Markets (2012, methodology): “There have been applications of regime switching to option volatilities and option valuation as well, such as Dueker (1997) and Bollen, Gray and Whaley (2000), among others.”