INTERTEMPORAL PRICE VOLATILITY OF FOREIGN-CURRENCY FUTURES CONTRACTS

被引：1

作者：

ELDRIDGE, RM ^{[1
]}

机构：

[1] GEORGE WASHINGTON UNIV,WASHINGTON,DC 20052

来源：

JOURNAL OF FUTURES MARKETS | 1984年 / 4卷 / 02期

关键词：

D O I：

10.1002/fut.3990040204

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：133 / 154

页数：22

共 50 条

[1] VOLATILITY IN THE FOREIGN-CURRENCY FUTURES MARKET
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[J]. REVIEW OF FINANCIAL STUDIES, 1991, 4 (03): : 543 - 569
[2] PRICE DYNAMICS IN FOREIGN-CURRENCY FUTURES MARKETS
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[J]. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 1987, 6 (03) : 295 - 314
[3] FOREIGN-CURRENCY FUTURES
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[J]. JOURNAL OF INTERNATIONAL ECONOMICS, 1987, 22 (1-2) : 1 - 24
[4] A REDETERMINATION OF HEDGING STRATEGIES USING FOREIGN-CURRENCY FUTURES CONTRACTS AND FORWARD MARKETS
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[J]. JOURNAL OF FUTURES MARKETS, 1992, 12 (01) : 93 - 104
[5] TESTS OF THE MARTINGALE HYPOTHESIS FOR FOREIGN-CURRENCY FUTURES WITH TIME-VARYING VOLATILITY
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[J]. INTERNATIONAL JOURNAL OF FORECASTING, 1987, 3 (01) : 131 - 148
[6] PRICING FOREIGN-CURRENCY OPTIONS WITH STOCHASTIC VOLATILITY
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[7] A NOTE ON THE HEDGING EFFECTIVENESS OF FOREIGN-CURRENCY FUTURES
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[J]. JOURNAL OF FUTURES MARKETS, 1981, 1 (04) : 659 - 664
[8] STABILITY AND THE HEDGING PERFORMANCE OF FOREIGN-CURRENCY FUTURES
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[J]. JOURNAL OF FUTURES MARKETS, 1983, 3 (03) : 295 - 305
[9] Intertemporal risk in the foreign currency futures basis
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[10] EVIDENCE OF RISK PREMIUMS IN FOREIGN-CURRENCY FUTURES MARKETS
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