Volatility linkage among currency futures markets during US trading and non-trading periods
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multinational Financial Management.
Volume (Year): 9 (1999)
Issue (Month): 2 (March)
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Web page: http://www.elsevier.com/locate/mulfin
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Oldfield, George S, Jr & Rogalski, Richard J, 1980. " A Theory of Common Stock Returns over Trading and Non-Trading Periods," Journal of Finance, American Finance Association, vol. 35(3), pages 729-51, June.
- Grammatikos, Theoharry & Saunders, Anthony, 1986. "Futures Price Variability: A Test of Maturity and Volume Effects," The Journal of Business, University of Chicago Press, vol. 59(2), pages 319-30, April.
- Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2005.
"Cross-dynamics of volatility term structures implied by foreign exchange options,"
Working Paper Series
0530, European Central Bank.
- Krylova, Elizaveta & Nikkinen, Jussi & Vähämaa, Sami, 2009. "Cross-dynamics of volatility term structures implied by foreign exchange options," Journal of Economics and Business, Elsevier, vol. 61(5), pages 355-375, September.
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