Volatility models of currency futures in developed and emerging markets

This paper examines volatility models of currency futures contracts for three developed markets and two emerging markets. For each contract, standard models of the Unbiased Expectations Hypothesis (UEH) and Cost-of-Carry hypothesis (COC) are extended to derive volatility models corresponding to each...

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Bibliographic Details
Main Authors: SEQUEIRA, J. M., PANG, Chia Chiat, McALEER, Michael
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2004
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/5057
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Institution: Singapore Management University
Language: English

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