Volatility models of currency futures in developed and emerging markets

• المؤلفون الرئيسيون: SEQUEIRA, J. M., PANG, Chia Chiat, McALEER, Michael
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2004
• الموضوعات: Cost-of-Carry Volatility Systems; Unbiased Expectations Hypothesis Volatility System; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/5057
• المؤسسة: Singapore Management University

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...