Jumps, Martingales, and Foreign Exchange Futures Prices

Jumps, Martingales, and Foreign Exchange Futures Prices
A common specification about the behavior of foreign exchange spot and futures prices is that they follow continuous diffusion processes. The empirical regularities uncovered from daily and weekly currency futures data, however, cast doubts on the validity of this model. First, contrary to the suggestions in the literature, changes in foreign... READ MORE...

Publication date: February 1996
ISBN 9781451921649
$15.00

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