Looking for contagion in currency future
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Chu-Sheng Tai
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Article
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2003
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John Wiley and Sons
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English
β 326 KB
## Abstract This article tests whether there are pure contagion effects in both conditional means and volatilities among British pound, Canadian dollar, Deutsche mark, and Swiss franc futures markets during the 1992 ERM crisis. A conditional version of international capital asset pricing model (ICA