Volatility models of currency futures in developed and emerging markets

Mathematics and Computers in Simulation

Volumn 64, Issue 1, 2004, Pages 79-93

  Sequeira, John M ^a   Chiat, Pang Chia ^a   McAleer, Michael ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b UNIVERSITY OF WESTERN AUSTRALIA   (Australia)

Author keywords

Cost of Carry Volatility Systems; Unbiased Expectations Hypothesis Volatility System

Indexed keywords

CONTRACTS; ERROR ANALYSIS; ESTIMATION; MARKETING; MATHEMATICAL MODELS; RISK ASSESSMENT; VECTORS;

UNBIASED EXPECTATIONS HYPOTHESIS (UEH);

INDUSTRIAL ECONOMICS;

EID: 0345327666     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4754(03)00122-8     Document Type: Conference Paper

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