Equilibrium adjustment, basis risk and risk transmission in spot and forward foreign exchange markets

Applied Financial Economics

Volumn 11, Issue 2, 2001, Pages 127-136

  Wang, P ^a,a  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

[No Author keywords available]

Indexed keywords

INTERNATIONAL TRADE; RISK FACTOR; TRADE RELATIONS;

EID: 0035076767     PISSN: 09603107     EISSN: None     Source Type: Journal    
DOI: 10.1080/096031001750071514     Document Type: Article

References (28)

1. ARCH effects and cointegration: Is the foreign exchange market efficient?
2. Multivariate simultaneous generalised ARCH
3. The message in daily exchange rates: A conditional-variance tale
4. A multivariate generalised ARCH approach to modelling risk premia in forward foreign exchange rate markets
5. Cointegration, fractional cointegration and exchange rate dynamics
6. The long memory of the forward premium
7. Testing rational expectations and efficiency in the foreign exchange market
8. Stationarity of GARCH processes and some nonnegative time series
9. The role of futures trading activity in exchange rate volatility
10. Estimating daily seasonals in financial time series: The use of high-pass spectral filters
11. Estimating seasonality in foreign exchange rate changes
12. Volatility in wheat spot and futures markets, 1950-1993: Government and farm programs, seasonality, and causality
13. Foreign exchange market efficiency and common stochastic trends
14. The dynamics of exchange rate volatility: A multivariate latent factor ARCH model
15. Multivariate simultaneous generalized ARCH
16. Forward exchange rate as optimal predictors of future spot rates: An econometric analysis
17. Expectations and the forward exchange rate
18. The statistical properties of daily foreign exchange rates: 1974-1983
19. A multivariate GARCH model of international transmissions of stock returns and volatility: The case of the United States and Canada
20. Asymmetric volatility transmission in international stock markets
21. Testing the null hypothesis of stationarity against the alternative of a unit root: How sure are we that economic time series have a unit root?
22. The term structure of forward foreign exchange rate premiums
23. Testing the martingale hypothesis in deutsch mark futures with models specifying the form of heteroscedasticity
24. Stationarity and persistence in the GARCH(1,1) model
25. Price dynamics in refined petroleum spot and futures markets