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Single beta models and currency futures prices
McCurdy, Thomas H.; Morgan, Ieuan G. - 1991 - rev
Persistent link: https://www.econbiz.de/10000135919
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Intertemporal risk in foreign currency markets
McCurdy, Thomas H. - In: The exchange rate and the economy : [proceedings of a …, (pp. 325-355). 1993
Persistent link: https://www.econbiz.de/10001295874
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Evidence of risk premiums in foreign currency futures markets
McCurdy, Thomas H. - In: The review of financial studies 5 (1992) 1, pp. 65-83
Persistent link: https://www.econbiz.de/10001119826
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The unbiasedness hypothesis in the forward foreign exchange market : a specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany
Gregory, Allan W. - In: European economic review : EER 30 (1986) 2, pp. 365-381
Persistent link: https://www.econbiz.de/10001020509
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Tests of the martingale hypothesis for foreign currency futures with time-varying volatility
McCurdy, Thomas H. - In: International journal of forecasting 3 (1987) 1, pp. 131-148
Persistent link: https://www.econbiz.de/10001034066
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Testing the martingale hypothesis in Deutsche Mark futures with models specifying the form of heteroscedasticity
McCurdy, Thomas H. - In: Journal of applied econometrics 3 (1988) 3, pp. 187-202
Persistent link: https://www.econbiz.de/10001053503
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Single beta models and currency futures prices
McCurdy, Thomas H. - In: The economic record : er (1992), pp. 117-129
Persistent link: https://www.econbiz.de/10001130518
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Tests of the martingale hypothesis for foreign currency futures with time-varying volatility
McCurdy, Thomas H.; Morgan, Ieuan G. - 1986
Persistent link: https://www.econbiz.de/10003532268
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Evidence of Risk Premiums in Foreign Currency Futures Markets
McCurdy, Thomas H. - 2011
Weekly data for foreign currency futures prices are examined for evidence of risk premiums. Covariance risks are … representing the prices of the covariance risks are held constant, no risk premiums are detected. However, when these prices are …
Persistent link: https://www.econbiz.de/10013119766