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Time-varying optimal hedge ratios of foreign currency futures
Parhizgari, Ali M. - In: Finance India : the quarterly journal of Indian … 10 (1996) 2, pp. 325-332
Persistent link: https://www.econbiz.de/10001206016
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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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Estimating the bid-ask spread in a heteroskedastic market : the case of foreign currency futures
Laux, Paul A. - In: Review of quantitative finance and accounting 4 (1994) 3, pp. 219-237
Persistent link: https://www.econbiz.de/10001174256
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Nonlinear dynamics in expectations : an empirical study
Resende, Marcelo - In: Bulletin of economic research 52 (2000) 2, pp. 167-173
Persistent link: https://www.econbiz.de/10001469448
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Testing speculative efficiency : pitfalls, puzzles and parametrics
Lim, Guay C.; Martin, Vance - 1995
Persistent link: https://www.econbiz.de/10000920105
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Anticipations of foreign exchange volatility and bid-ask spreads
Wei, Shang-jin - 1994
Persistent link: https://www.econbiz.de/10000888713
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Anticipations of foreign exchange volatility and bid-ask spreads
Wei, Shang-jin - 1991
Persistent link: https://www.econbiz.de/10000130703
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Non-linear dependence of returns, volatility and trading volume in currency futures markets
Mahmood, Wan Mansor Wan - 1998
Persistent link: https://www.econbiz.de/10001397567
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Anticipations of Foreign Exchange Volatility and Bid-Ask Spreads
Wei, Shang-Jin - 2000
The paper studies the effect of the market's perceived exchange rate volatility on bid-ask spreads. The anticipated volatility is extracted from currency options data. An increase in the perceived volatility is found to widen bid-ask spreads. The direction of the effect is consistent with an...
Persistent link: https://www.econbiz.de/10012788531