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Applying economic restrictions to foreign exchange rate dynamics: spot rates, futures, and options

Dothan, Michael; Ramamurtie, Sailesh; Ulman, Scott - Federal Reserve Bank of Atlanta - 1996

develop valuation equations for several exchange rate instruments, from forward and futures contracts to straight options on … the spot rates to options on the futures contracts. …

Persistent link: https://www.econbiz.de/10005721744

Short-term speculators and the origins of near-random-walk exchange rate behavior

Osler, C.L. - Federal Reserve Bank of New York - 1995

This paper suggests that normal speculative activity could be a source of random-walk exchange rate behavior. Using a noise trader model to analyze very short-term exchange rate behavior, it shows that rational, risk-averse speculators will smooth the impact of shocks to exchange rate...

Persistent link: https://www.econbiz.de/10005420610

Exchange rate changes and net positions of speculators in the futures market

Klitgaard, Thomas; Weir, Laura - In: Economic Policy Review (2004) May, pp. 17-28

short-term exchange rate movements. One data set frequently used in those efforts is a weekly report of net futures market …

Persistent link: https://www.econbiz.de/10005372972

Spreads, information flows and transparency across trading systems

Kofman, Paul; Moser, James T. - Federal Reserve Bank of Chicago - 1995

Persistent link: https://www.econbiz.de/10005414694

Futures in the nineties: confronting globalization

Brodsky, William J. - Federal Reserve Bank of Chicago - 1990

Persistent link: https://www.econbiz.de/10010724497

Institutional developments in the globalization of securities and futures markets

Scarlata, Jodi G. - In: Review (1992) Jan, pp. 17-30

Persistent link: https://www.econbiz.de/10005726035

Optimal cross-hedging under futures mispricing : a note

Lafuente, Juan Angel - In: Journal of derivatives & hedge funds 19 (2013) 3, pp. 181-188

Persistent link: https://www.econbiz.de/10010259438

Hedging effectiveness of the hedged portfolio : the expected utility maximization subject to the value-at-risk approach

Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Applied economics 47 (2015) 19/21, pp. 2040-2052

Persistent link: https://www.econbiz.de/10010513350

Modelling and testing volatility spillovers in oil and financial markets for USA, UK and China

Chang, Chia-Lin; McAleer, Michael; Tian, Jiarong - 2016 - Revised: June, 2016

oil derivatives, specifically futures, and stock index returns in UK and USA. The paper will also analyze the Chinese …

Persistent link: https://www.econbiz.de/10011520514

Testing co-volatility spillovers for natural gas spot, futures and ETF spot using dynamic conditional covariances

Chang, Chia-Lin; McAleer, Michael; Wang, Yanghuiting - 2016 - Revised: June, 2016

derivatives markets. These hedging instruments include natural gas futures and options, as well as Exchange Traded Fund (ETF … spot, futures and ETF markets using the multivariate conditional volatility diagonal BEKK model. The data used include … natural gas spot and futures returns data from two major international natural gas derivatives markets, namely NYMEX (USA) and …

Persistent link: https://www.econbiz.de/10011490999