๐”– Bobbio Scriptorium
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Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts

โœ Scribed by John M. Sequeira; Michael McAleer; Ying-Foon Chow

Book ID
108573211
Publisher
John Wiley and Sons
Year
2001
Tongue
English
Weight
221 KB
Volume
77
Category
Article
ISSN
0013-0249

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๐Ÿ“œ SIMILAR VOLUMES

Intertemporal price volatility of foreig
Intertemporal price volatility of foreign currency futures contracts
โœ Robert M. Eldridge ๐Ÿ“‚ Article ๐Ÿ“… 1984 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 412 KB ๐Ÿ‘ 1 views

is article examines one facet cif the foreign currency futures markets: The T" impact on price volatility of foreign currency futures traded on the International Monetary Market (IMM) caused by European participants taking positionsquaring actions at the end of their business day, which precedes the

Empirical tests of the efficiency of the
Empirical tests of the efficiency of the currency futures options market
โœ Joseph P. Ogden; Alan L. Tucker ๐Ÿ“‚ Article ๐Ÿ“… 1987 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 425 KB ๐Ÿ‘ 1 views

his study investigates empirically the efficiency of the currency futures T options market, Synchronous transactions data are used to test six arbitrage pricing conditions applicable to American futures options. Results support market efficiency for the period studied; few violations of these condit

Empirical performance of alternative pri
Empirical performance of alternative pricing models of currency options
โœ Sarwar, Ghulam; Krehbiel, Timothy ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 244 KB ๐Ÿ‘ 1 views

This article examines the out-of-sample pricing performance and biases of the Heston's stochastic volatility and modified Black-Scholes option pricing models in valuing European currency call options written on British pound. The modified Black-Scholes model with daily-revised implied volatilities p