Jumps, Martingales, and Foreign Exchange Futures Prices /
A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous diffusion processes. The empirical regularities uncovered from daily and weekly currency futures data, however, cast doubts on the validity of this model. First, contrary to the sugge...
| Հիմնական հեղինակ: | |
|---|---|
| Ձևաչափ: | Ամսագիր |
| Լեզու: | English |
| Հրապարակվել է: |
Washington, D.C. :
International Monetary Fund,
1996.
|
| Շարք: | IMF Working Papers; Working Paper ;
No. 1996/021 |
| Առցանց հասանելիություն: | Full text available on IMF |