This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Testing the Martingale Hypothesis in Deutsche Mark Futures with Models Specifying the Form of Heteroscedasticity

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
McCurdy, Thomas H
Morgan, Ieuan G

Additional information is available for the following registered author(s):

Abstract

No abstract is available for this item.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0883-7252%28198807%2F198809%293%3A3%3C187%3ATTMHID%3E2.0.CO%3B2-E&origin=bc
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics.

Volume (Year): 3 (1988)
Issue (Month): 3 (July-Sept.)
Pages: 187-202
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:jae:japmet:v:3:y:1988:i:3:p:187-202

Contact details of provider:
Web page: http://www.interscience.wiley.com/jpages/0883-7252/

Order Information:
Email:
Web: http://www3.interscience.wiley.com/jcatalog/subscribe.jsp?issn=0883-7252

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, 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.)

  1. Takatoshi Ito & Robert F. Engle & Wen-Ling Lin, 1992. "Where Does the Meteor Shower Come From? The Role of Stochastic Policy Coordination," NBER Working Papers 3504, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Roberta Colavecchio & Michael Funke, 2008. "Volatility Transmission between Renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," Quantitative Macroeconomics Working Papers 20803, Hamburg University, Department of Economics. [Downloadable!]
    Other versions:
  3. Badi Baltagi & Qi Li, 2001. "Estimation Of Econometric Models With Nonparametrically Specified Risk Terms," Econometric Reviews, Taylor and Francis Journals, vol. 20(4), pages 445-460. [Downloadable!] (restricted)
  4. Torben G. Andersen & Tim Bollerslev, 1997. "Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts," NBER Working Papers 6023, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Owen F. Humpage & William P. Osterberg, 1990. "Intervention and the foreign exchange risk premium: an empirical investigation of daily effects," Working Paper 9009, Federal Reserve Bank of Cleveland. [Downloadable!]
  6. Robert F. Engle & Kenneth F. Kroner previously & Yoshihisa Baba & Dennis F. Kraft, 1993. "Multivariate Simultaneous Generalized ARCH," University of California at San Diego, Economics Working Paper Series 89-57r, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
  7. Ken Johnston & David Carter & John Hatem, 2005. "Exchange rates, and fundamental variables: a semi-parametric analysis of binary choice," Applied Economics, Taylor and Francis Journals, vol. 37(16), pages 1915-1924, September. [Downloadable!] (restricted)
  8. Watt, D.G.M., 1997. "Canadian Short-Term Interest Rates and the BAX Futures Markets: An Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns Between Markets," Working Papers 97-18, Bank of Canada. [Downloadable!]
  9. Cotter, John, 2004. "Tail Behaviour of the Euro," MPRA Paper 3531, University Library of Munich, Germany, revised 2005. [Downloadable!]
    Other versions:
  10. Atreya Chakraborty, John T. Barkoulas, 1999. "Dynamic futures hedging in currency markets," European Journal of Finance, Taylor and Francis Journals, vol. 5(4), pages 299-314, December. [Downloadable!] (restricted)
  11. Owen F. Humpage & William P. Osterberg, 1992. "New results on the impact of central-bank intervention on deviations from uncovered interest parity," Working Paper 9207, Federal Reserve Bank of Cleveland. [Downloadable!]
Statistics
Access and download statistics

Did you know? A few items listed on IDEAS are over 2000 years old!

This page was last updated on 2009-12-17.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.