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...
| Tác giả chính: | |
|---|---|
| Định dạng: | Tạp chí |
| Ngôn ngữ: | English |
| Được phát hành: |
Washington, D.C. :
International Monetary Fund,
1996.
|
| Loạt: | IMF Working Papers; Working Paper ;
No. 1996/021 |
| Truy cập trực tuyến: | Full text available on IMF |