DYNAMIC INTERACTIONS BETWEEN THE SPOT AND FORWARD EURODRACHMA MARKETS
The study examines the joint distribution ofspot andforward rates returnsfor three Greek drachma exchange rates in terms ofGerman marks, British pounds and US dollars. The empirical methodology is the bivariate Expo- nential GARCH model with an error-correction term. The results indicate that innova...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
People & Global Business Association (P&GBA)
1999-09-01
|
| Series: | Global Business and Finance Review |
| Subjects: | |
| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150625121532-URG8S.pdf |