The role of futures trading activity in exchange rate volatility

Journal of Futures Markets

Volumn 16, Issue 5, 1996, Pages 561-584

  Chatrath, Arjun ^a   Ramchander, Sanjay ^b   Song, Frank ^c  

^a Lake Erie College

^b Criminal Justice and Applied Social and Political Sciences Department

^c CLEVELAND STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0030501699     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(sici)1096-9934(199608)16:5<561::aid-fut4>3.3.co;2-5     Document Type: Article

References (3)

1. Akaike, H. (1973): "Information Theory and the Extension of the Maximum Likelihood Principle," in Second International Symposium on Information Theory; Petrov, B. N., and Caski, F. (eds.), Budapest.
2. Akgir, V. (1989): "Conditional Heteroskedasticity in Time Series of Stock Returns: Evidence and Forecasts," Journal of Business, 62:55-80.
3. Baillie, R., and Bollerslev, T. (1989): "The Message in Daily Exchange Rates: A Conditional Variance Tale," Journal of Business and Economic Statistics, 7:297-305.