DYNAMIC INTERACTIONS BETWEEN THE SPOT AND FORWARD EURODRACHMA MARKETS

DYNAMIC INTERACTIONS BETWEEN THE SPOT AND FORWARD EURODRACHMA MARKETS

The study examines the joint distribution ofspot andforward rates returnsfor three Greek drachma exchange rates in terms ofGerman marks, British pounds and US dollars. The empirical methodology is the bivariate Expo- nential GARCH model with an error-correction term. The results indicate that innova...

Full description

Bibliographic Details
Main Author: Nikiforos Laopodis
Format: Article
Language:English
Published: People & Global Business Association (P&GBA) 1999-09-01
Series:Global Business and Finance Review
Subjects:
spot
forward rates
interaction
Online Access:http://www.gbfrjournal.org/pds/journal/thesis/20150625121532-URG8S.pdf

Similar Items

Similar Items