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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Main Authors: | , , |
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2004
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Subjects: | |
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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