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Foreign exchange futures trading and spot market volatility in Thailand

Woradee Jongadsayakul - In: Risks : open access journal 12 (2024) 7, pp. 1-20

This paper investigates how the introduction of foreign exchange futures has an impact on spot volatility and considers … the contemporaneous and dynamic relationship between spot volatility and foreign exchange futures trading activity … decreases spot volatility. It also increases the rate at which new information is impounded into spot prices but decreases the …

Persistent link: https://www.econbiz.de/10014637194

Price discovery and volatility transmission in currency spot and futures markets in India : an empirical analysis

Sakthivel, P.; Chittedi, Krishna Reddy; Sakyi, Daniel - In: Global business review 20 (2019) 4, pp. 931-945

Persistent link: https://www.econbiz.de/10012137518

Currency futures market in India : an empirical analysis of market efficiency and volatility

Nath, Golak Bihari; Pacheco, Manoel - In: Macroeconomics and finance in emerging market economies 11 (2018) 1/3, pp. 47-84

Persistent link: https://www.econbiz.de/10011974206

An empirical analysis of the WTI oil price returns and volatility spillover in the USA

Wei, Ching Chun; Chen, Chung-Hsuan - In: The empirical economics letters : a monthly … 13 (2014) 6, pp. 663-674

Persistent link: https://www.econbiz.de/10010520049

Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality

Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887

's dynamic properties may lead to misestimation of the intraday spot volatility. …

Persistent link: https://www.econbiz.de/10011411344

Are Indian forward spot markets rational forecasts of future spot rates

Kalsie, Anjala; Goyal, Anil Kumar - In: Mudra : journal of finance and accounting 2 (2015) 2, pp. 63-76

Persistent link: https://www.econbiz.de/10011661884

Lead-lag relationship between futures and spot FX market in India

Kharbanda, Varuna; Singh, Archana - In: International journal of managerial finance : IJMF 13 (2017) 5, pp. 560-577

Persistent link: https://www.econbiz.de/10011799586

Impact of Currency Futures on Spot Market Volatility in Indian Foreign Exchange Market

Patra, Dr. Govind - 2022

exchange market of India. Only the USD/INR exchange rate is considered for the study for the presented work. This study is …

Persistent link: https://www.econbiz.de/10014242180

Conditional volatility, skewness, and kurtosis : existence and persistence

Jondeau, Eric; Rockinger, Michael - 2000

Persistent link: https://www.econbiz.de/10001534321

Conditional volatility, skewness, and kurtosis : existence, persistence, and comovements

Jondeau, Eric; Rockinger, Michael - In: Journal of economic dynamics & control 27 (2003) 10, pp. 1699-1737

Persistent link: https://www.econbiz.de/10001755410