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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
Saved in:
2
Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.
;
Trevor, Robert G.
-
1997
Persistent link: https://www.econbiz.de/10000978435
Saved in:
3
Does tick size influence price discovery? : Evidence from the Toronto stock exchange
Beaulieu, Marie-Claude
;
Ebrahim, Shafiq K.
;
Morgan, Ieuan G.
- In:
The journal of futures markets
23
(
2003
)
1
,
pp. 49-66
Persistent link: https://www.econbiz.de/10001745965
Saved in:
4
Tests for a systematic risk component in deviations from uncovered interest rate parity
McCurdy, Thomas H.
- In:
The review of economic studies
58
(
1991
)
4
,
pp. 587-602
Persistent link: https://www.econbiz.de/10001114301
Saved in:
5
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
Saved in:
6
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
Saved in:
7
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
Saved in:
8
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
Saved in:
9
Limit moves as censored observations of equilibrium futures price in GARCH processes
Morgan, Ieuan G.
;
Trevor, Robert G.
- In:
Journal of business & economic statistics : JBES ; a …
17
(
1999
)
4
,
pp. 397-408
Persistent link: https://www.econbiz.de/10001412844
Saved in:
10
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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