Volatility models of currency futures in developed and emerging markets

• Main Authors: SEQUEIRA, J. M., PANG, Chia Chiat, McALEER, Michael
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2004
• Subjects: Cost-of-Carry Volatility Systems; Unbiased Expectations Hypothesis Volatility System; Finance and Financial Management
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5057
• Institution: 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...