Ai-ru (Meg) Cheng; Cheung, Yin-Wong - Hong Kong Institute for Monetary Research (HKIMR), … - 2008
We use a class of stochastic volatility models with multiple latent factors to investigate the joint dynamics of return, trading volume, and open interest (a proxy for market depth) in currency futures markets. In accordance with theory, the empirical evidence indicates that there is more than...