VOLATILITY IN THE FOREIGN-CURRENCY FUTURES MARKET

被引：120

作者：

HARVEY, CR ^{[1
]}

HUANG, RD ^{[1
]}

机构：

[1] VANDERBILT UNIV,NASHVILLE,TN 37240

来源：

REVIEW OF FINANCIAL STUDIES | 1991年 / 4卷 / 03期

关键词：

D O I：

10.1093/rfs/4.3.543

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：543 / 569

页数：27

共 50 条

[1] INTERTEMPORAL PRICE VOLATILITY OF FOREIGN-CURRENCY FUTURES CONTRACTS
ELDRIDGE, RM
[J]. JOURNAL OF FUTURES MARKETS, 1984, 4 (02) : 133 - 154
[2] FOREIGN-CURRENCY FUTURES
HODRICK, RJ
SRIVASTAVA, S
[J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1987, 22 (1-2) : 1 - 24
[3] SEASONALITIES AND INTRADAY RETURN PATTERNS IN THE FOREIGN-CURRENCY FUTURES MARKET
CORNETT, MM
SCHWARZ, TV
SZAKMARY, AC
[J]. JOURNAL OF BANKING & FINANCE, 1995, 19 (05) : 843 - 869
[4] THE FOREIGN-CURRENCY FUTURES MARKET - SOME REFLECTIONS ON COMPETITIVENESS AND GROWTH
FIELEKE, NS
[J]. JOURNAL OF FUTURES MARKETS, 1985, 5 (04) : 625 - 631
[5] TESTS OF THE MARTINGALE HYPOTHESIS FOR FOREIGN-CURRENCY FUTURES WITH TIME-VARYING VOLATILITY
MCCURDY, TH
MORGAN, IG
[J]. INTERNATIONAL JOURNAL OF FORECASTING, 1987, 3 (01) : 131 - 148
[6] PRICING FOREIGN-CURRENCY OPTIONS WITH STOCHASTIC VOLATILITY
MELINO, A
TURNBULL, SM
[J]. JOURNAL OF ECONOMETRICS, 1990, 45 (1-2) : 239 - 265
[7] A NOTE ON THE HEDGING EFFECTIVENESS OF FOREIGN-CURRENCY FUTURES
HILL, J
SCHNEEWEIS, T
[J]. JOURNAL OF FUTURES MARKETS, 1981, 1 (04) : 659 - 664
[8] STABILITY AND THE HEDGING PERFORMANCE OF FOREIGN-CURRENCY FUTURES
GRAMMATIKOS, T
SAUNDERS, A
[J]. JOURNAL OF FUTURES MARKETS, 1983, 3 (03) : 295 - 305
[9] PRICE DYNAMICS IN FOREIGN-CURRENCY FUTURES MARKETS
CAVANAUGH, KL
[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1987, 6 (03) : 295 - 314
[10] EVIDENCE OF RISK PREMIUMS IN FOREIGN-CURRENCY FUTURES MARKETS
MCCURDY, TH
MORGAN, I
[J]. REVIEW OF FINANCIAL STUDIES, 1992, 5 (01): : 65 - 83

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