Fractal structure in currency futures price dynamics
β Scribed by Hsing Fang; Kon S. Lai; Michael Lai
- Publisher
- John Wiley and Sons
- Year
- 1994
- Tongue
- English
- Weight
- 724 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
The four parameters of the Pareto stable probability distribution for six agricultural futures are estimated. The behavior of these estimates for different time-scaled distributions is consistent with the conjecture that the stochastic processes generating these agricultural futures returns are char
## Abstract Previous literature on price discovery in stock index futures and spot markets neglects the role of different investor groups. This study relates timeβvarying spotβfutures linkages studied within a VECMβDCCβGARCH framework to changes in the investor structure of the futures market over
The authors gratefully acknowledge the financial support of the Chicago Board of Trade Educa-'See Stoll and Whaley (1987) for a summary of the debate and their analysis. 'See Grossman (1988) for a limitation in the use of futures in dynamic hedging strategies. 3These deviations of actual from theore
This article studies the impact of the Asian financial crisis on index options and index futures markets in Hong Kong. We employed a time-stamped transaction data set of the Hang Seng Index options and futures contracts that were traded on the Hong Kong Futures Exchange. The results show that during