The volatility of financial markets: A time-series analysis of foreign exchange futures.
This research introduces hedging and basis risk models based on intertemporal asset pricing between futures and spot currency exchange markets. Recently developed time-series models are employed and empirically tested for five currencies: the British pound, Canadian dollar, Deutschemark, Japanese ye...
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| Language: | en |
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The University of Arizona.
1989
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| Online Access: | http://hdl.handle.net/10150/184845 |