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Memories, heteroscedasticity, and price limit in Currency futures markets

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  • G. Wenchi Kao
  • Christopher K. Ma

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  • G. Wenchi Kao & Christopher K. Ma, 1992. "Memories, heteroscedasticity, and price limit in Currency futures markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(6), pages 679-692, December.
    • Handle: RePEc:wly:jfutmk:v:12:y:1992:i:6:p:679-692
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    Cited by:

    1. Assaf, Ata, 2016. "MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008," Research in International Business and Finance, Elsevier, vol. 36(C), pages 222-240.
    2. Bekiros, Stelios D., 2013. "Irrational fads, short-term memory emulation, and asset predictability," Review of Financial Economics, Elsevier, vol. 22(4), pages 213-219.
    3. Robert J. Elliott & Tak Kuen Siu, 2014. "Strategic Asset Allocation Under a Fractional Hidden Markov Model," Methodology and Computing in Applied Probability, Springer, vol. 16(3), pages 609-626, September.
    4. Bekiros, Stelios D., 2015. "Heuristic learning in intraday trading under uncertainty," Journal of Empirical Finance, Elsevier, vol. 30(C), pages 34-49.
    5. Bekiros, Stelios & Marcellino, Massimiliano, 2013. "The multiscale causal dynamics of foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 282-305.
    6. Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
    7. Chen, Chao & Jeng, Jau-Lian, 1996. "The impact of price limits on foreign currency futures' price volatility and market efficiency," Global Finance Journal, Elsevier, vol. 7(1), pages 13-25.
    8. Batten, Jonathan & Ellis, Craig & Mellor, Robert, 1999. "Scaling laws in variance as a measure of long-term dependence," International Review of Financial Analysis, Elsevier, vol. 8(2), pages 123-138, June.
    9. Jin, Hyun Joung & Frechette, Darren L., 2002. "Fractal Geometry In Agricultural Cash Price Dynamics," 2002 Annual meeting, July 28-31, Long Beach, CA 19696, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    10. Ram Bhar, 1994. "Modelling Yen Futures Return Using Daily Data From IMM and Simex," Working Paper Series 39, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
    11. Bekiros, Stelios D., 2010. "Heterogeneous trading strategies with adaptive fuzzy Actor-Critic reinforcement learning: A behavioral approach," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1153-1170, June.
    12. Ellis, Craig, 2006. "The mis-specification of the expected rescaled adjusted range," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 363(2), pages 469-476.
    13. Seza Danışoğlu & Z. Nuray Güner, 2018. "Do price limits help control stock price volatility?," Annals of Operations Research, Springer, vol. 260(1), pages 129-157, January.
    14. Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
    15. A. Assaf, 2007. "Fractional integration in the equity markets of MENA region," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 709-723.
    16. Bekiros, Stelios D., 2010. "Fuzzy adaptive decision-making for boundedly rational traders in speculative stock markets," European Journal of Operational Research, Elsevier, vol. 202(1), pages 285-293, April.

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