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Intertemporal price volatility of foreign currency futures contracts

✍ Scribed by Robert M. Eldridge

Publisher
John Wiley and Sons
Year
1984
Tongue
English
Weight
412 KB
Volume
4
Category
Article
ISSN
0270-7314

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✦ Synopsis

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 close of the IMM. Section I of the article establishes the environment of the study and the related assumptions. Section I1 describes the study procedures and results. Section I11 provides conclusions and suggests areas of additional study.

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