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...

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Detalles Bibliográficos
Autor principal: Hu, Zuliu
Formato: Revista
Lenguaje:English
Publicado: Washington, D.C. : International Monetary Fund, 1996.
Colección:IMF Working Papers; Working Paper ; No. 1996/021
Acceso en línea:Full text available on IMF

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