The Impact of Rand/US Dollar Exchange Rate Volatility on the Performance of Futures Markets for Agricultural Commodities
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More about this item
KeywordsExchange rate volatility; futures market; EMH; GARCH; bootstrapping technique;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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