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Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

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Cited by:

  1. Jingliang Xiao & Robert D Brooks & Wing-Keung Wong, 2009. "Garch And Volume Effects In The Australian Stock Markets," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 5(01), pages 1-20.
  2. Lai, Ya-Wen & Windawati, Atif, 2017. "Risk, return, and liquidity during Ramadan: Evidence from Indonesian and Malaysian stock markets," Research in International Business and Finance, Elsevier, vol. 42(C), pages 233-241.
  3. Colavecchio, Roberta & Funke, Michael, 2008. "Volatility transmissions between renminbi and Asia-Pacific on-shore and off-shore U.S. dollar futures," China Economic Review, Elsevier, vol. 19(4), pages 635-648, December.
  4. Tim Bollerslev & Ray Y. Chou & Narayanan Jayaraman & Kenneth F. Kroner - L, 1991. "es modéles ARCH en finance : un point sur la théorie et les résultats empiriques," Annals of Economics and Statistics, GENES, issue 24, pages 1-59.
  5. Levy, Tamir & Yagil, Joseph, 2005. "Observed versus theoretical prices under price limit regimes," Journal of Economics and Business, Elsevier, vol. 57(3), pages 208-237.
  6. Chen, Gongmeng & Kwok, Chuck C. Y. & Rui, Oliver M., 2001. "The day-of-the-week regularity in the stock markets of China," Journal of Multinational Financial Management, Elsevier, vol. 11(2), pages 139-163, April.
  7. Lei, Li-Fen, 1992. "Using futures and option contracts to manage price and quantity risk: A case of corn farmers in central Iowa," ISU General Staff Papers 1992010108000011326, Iowa State University, Department of Economics.
  8. Bandopadhyaya, Arindam, 1991. "Speculative efficiency and risk premium in the market for foreign exchange : In search of the true specification," Economics Letters, Elsevier, vol. 36(3), pages 299-304, July.
  9. de Roon, Frans A. & Nijman, Theo E. & Veld, Chris, 1998. "Pricing Term Structure Risk in Futures Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(1), pages 139-157, March.
  10. Baillie, Richard T. & Bollerslev, Tim & Redfearn, Michael R., 1993. "Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange," Journal of International Money and Finance, Elsevier, vol. 12(5), pages 511-521, October.
  11. An-Sing Chen, 1997. "Volatility of exchange rate futures and high-low price spreads," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 21(1), pages 33-42, March.
  12. Emmanuel Afuecheta & Idika E. Okorie & Saralees Nadarajah & Geraldine E. Nzeribe, 2024. "Forecasting Value at Risk and Expected Shortfall of Foreign Exchange Rate Volatility of Major African Currencies via GARCH and Dynamic Conditional Correlation Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(1), pages 271-304, January.
  13. Mougoue, Mbodja & Whyte, Ann Marie, 1996. "Stock returns and volatility: An empirical investigation of the German and French equity markets," Global Finance Journal, Elsevier, vol. 7(2), pages 253-263.
  14. Kodres, Laura E, 1993. "Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity," The Journal of Business, University of Chicago Press, vol. 66(3), pages 464-490, July.
  15. Jaehun Chung & Yongmiao Hong, 2013. "Model-Free Evaluation of Directional Predictability in Foreign Exchange," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
  16. Hsieh, Ping-Hung & Yang, J. Jimmy, 2009. "A censored stochastic volatility approach to the estimation of price limit moves," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 337-351, March.
  17. Chihwa Kao, 2001. "Some New Approaches to Formulate and Estimate Friction-Bernoulli Jump Diffusion and Friction-GARCH," Center for Policy Research Working Papers 35, Center for Policy Research, Maxwell School, Syracuse University.
  18. Kai-Li Wang & Christopher Fawson & Christopher B. Barrett & James B. McDonald, 2001. "A flexible parametric GARCH model with an application to exchange rates," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 16(4), pages 521-536.
  19. Wei, Steven X., 2002. "A censored-GARCH model of asset returns with price limits," Journal of Empirical Finance, Elsevier, vol. 9(2), pages 197-223, March.
  20. Jaehun Chung & Yongmiao Hong, 2007. "Model-free evaluation of directional predictability in foreign exchange markets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 855-889.
  21. Bollerslev, Tim & Chou, Ray Y. & Kroner, Kenneth F., 1992. "ARCH modeling in finance : A review of the theory and empirical evidence," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 5-59.
  22. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.
  23. Baillie, Richard T. & P. Osterberg, William, 1997. "Central bank intervention and risk in the forward market," Journal of International Economics, Elsevier, vol. 43(3-4), pages 483-497, November.
  24. THOMAS H. McCURDY & IEUAN G. MORGAN, 1992. "Single Beta Models and Currency Futures Prices," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 117-129, December.
  25. Jin, Shaorong & Zhou, Chaobo & Peng, Huan, 2023. "Does price limit reduce stock price volatility on the limit up and down day?," Finance Research Letters, Elsevier, vol. 58(PA).
  26. Colm Kearney & Ronald Macdonald, 1991. "Efficiency in the Forward Foreign Exchange Market: Weekly Tests of the Australian/US Dollar Exchange Rate January 1984‐March 1987," The Economic Record, The Economic Society of Australia, vol. 67(3), pages 237-242, September.
  27. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, September.
  28. Gregory, Allan W, 1989. "A Nonparametric Test for Autoregressive Conditional Heteroscedasticity: A Markov-Chain Approach," Journal of Business & Economic Statistics, American Statistical Association, vol. 7(1), pages 107-115, January.
  29. 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.
  30. Chen, An-Sing & Leung, Mark T., 1998. "Stochastic properties and predictability of intraday Taiwan exchange rates," International Review of Financial Analysis, Elsevier, vol. 7(3), pages 207-220.
  31. Gabriele Fiorentini & Enrique Sentana & Neil Shephard, 2004. "Likelihood-Based Estimation of Latent Generalized ARCH Structures," Econometrica, Econometric Society, vol. 72(5), pages 1481-1517, 09.
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