Comparison of exchange rate volatility in the spot and forward markets.

This paper seeks to compare the spot and forward exchange rate volatility of the major currencies. Under the assumption of non-stochastic interest rates, if the currency markets are efficient in the sense that it is not possible to arbitrage between the two markets, the volatility in the two markets...

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Main Authors:	Lim, Raymond Kiat Jiang., Ng, Meng Chong., Tan, Yeok Koon.
Other Authors:	Charoenwong, Charlie
Format:	Final Year Project
Published:	2008
Subjects:	DRNTU::Business::Finance::Foreign exchange
Online Access:	http://hdl.handle.net/10356/11603
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Institution:	Nanyang Technological University

id	sg-ntu-dr.10356-11603
record_format	dspace
spelling	sg-ntu-dr.10356-116032023-05-19T06:16:15Z Comparison of exchange rate volatility in the spot and forward markets. Lim, Raymond Kiat Jiang. Ng, Meng Chong. Tan, Yeok Koon. Charoenwong, Charlie Nanyang Business School DRNTU::Business::Finance::Foreign exchange This paper seeks to compare the spot and forward exchange rate volatility of the major currencies. Under the assumption of non-stochastic interest rates, if the currency markets are efficient in the sense that it is not possible to arbitrage between the two markets, the volatility in the two markets should not be significantly different from each other. 2008-09-24T07:56:57Z 2008-09-24T07:56:57Z 2001 2001 Final Year Project (FYP) http://hdl.handle.net/10356/11603 Nanyang Technological University application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
topic	DRNTU::Business::Finance::Foreign exchange
spellingShingle	DRNTU::Business::Finance::Foreign exchange Lim, Raymond Kiat Jiang. Ng, Meng Chong. Tan, Yeok Koon. Comparison of exchange rate volatility in the spot and forward markets.
description	This paper seeks to compare the spot and forward exchange rate volatility of the major currencies. Under the assumption of non-stochastic interest rates, if the currency markets are efficient in the sense that it is not possible to arbitrage between the two markets, the volatility in the two markets should not be significantly different from each other.
author2	Charoenwong, Charlie
author_facet	Charoenwong, Charlie Lim, Raymond Kiat Jiang. Ng, Meng Chong. Tan, Yeok Koon.
format	Final Year Project
author	Lim, Raymond Kiat Jiang. Ng, Meng Chong. Tan, Yeok Koon.
author_sort	Lim, Raymond Kiat Jiang.
title	Comparison of exchange rate volatility in the spot and forward markets.
title_short	Comparison of exchange rate volatility in the spot and forward markets.
title_full	Comparison of exchange rate volatility in the spot and forward markets.
title_fullStr	Comparison of exchange rate volatility in the spot and forward markets.
title_full_unstemmed	Comparison of exchange rate volatility in the spot and forward markets.
title_sort	comparison of exchange rate volatility in the spot and forward markets.
publishDate	2008
url	http://hdl.handle.net/10356/11603
_version_	1770564994920873984

Comparison of exchange rate volatility in the spot and forward markets.

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