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

✍ 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
DOI: 10.2307/2353209

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## 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