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

• Main Authors: Lim, Raymond Kiat Jiang., Ng, Meng Chong., Tan, Yeok Koon.
• 其他作者: Charoenwong, Charlie
• 格式: Final Year Project
• 出版: 2008
• 主題: DRNTU::Business::Finance::Foreign exchange
• 在線閱讀: http://hdl.handle.net/10356/11603

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...