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Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity

โœ Scribed by Laura E. Kodres


Book ID
124690500
Publisher
University of Chicago Press
Year
1993
Tongue
English
Weight
484 KB
Volume
66
Category
Article
ISSN
0021-9398

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An intraday test of pricing and arbitrag
โœ Russell Poskitt ๐Ÿ“‚ Article ๐Ÿ“… 2002 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 223 KB ๐Ÿ‘ 2 views

## Abstract This paper examines pricing and arbitrage opportunities in the New Zealand bank bill futures market using an intraday data set. The key findings are: (a) the implied forward rate model yields biased estimates of the bill futures yield but the bias is small and not economically significa