NONLINEAR DEPENDENCIES IN CURRENCY FUTURES
Several studies have documented nonlinear dependencies in the exchange rates of major currencies. This paper provides similar evidence for the currency futures of the British Pound, Deutsche Mark, Swiss Franc, Cana- dian dollar, and Japanese Yen. It is established that the GARCH (1,1) model satisfac...
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| Format: | Article |
| Language: | English |
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People & Global Business Association (P&GBA)
1999-09-01
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| Series: | Global Business and Finance Review |
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| Online Access: | http://www.gbfrjournal.org/pds/journal/thesis/20150625121949-VC12L.pdf |