Volatility models of currency futures in developed and emerging markets.

DOI10.1016/S0378-4754(03)00122-8zbMath1060.91070OpenAlexW2025000476MaRDI QIDQ1418607

Pang Chia Chiat, John M. Sequeira, Michael McAleer

Publication date: 14 January 2004

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-4754(03)00122-8

zbMATH Keywords

cost-of-carry volatility systemsunbiased expectations hypothesis volatility system

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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