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~institution:"Finance Discipline Group, Business School"
~person:"Bhar, Ram"
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martingale property
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Bhar, Ram
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Modelling Yen Futures Return Using Daily Data From IMM and Simex
Bhar, Ram
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Finance Discipline Group, Business School
-
1994
in the return series as a
GARCH
(1, 1) process. The results reject the martingale behaviour in the return but find a …
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