This paper re-examines the significant autocorrelation results of foreign currency futures reported by Liu and He in this journal. It argues that extremely thin trading early in the life of individual futures contracts induces unreliable results in Liu and He. Moreover, the Monte Carlo results...

This study demonstrates that the mixed diffusion-jump process is superior to the stable laws or a mixture of normals as a model of exchange rate changes for the British pound, French franc, and the We st German mark relative to the United States dollar. The parameter value s for the mixed...