Risk and Turnover in the Foreign Exchange Market
暂无分享,去创建一个
[1] P. Clark. A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices , 1973 .
[2] F. Black. The pricing of commodity contracts , 1976 .
[3] Jacob A. Frenkel,et al. Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods , 1977, Journal of Political Economy.
[4] W. Cornell. Determinants of the Bid-Ask Spread On Forward Foreign Exchange Contracts Under Floating Exchange Rates , 1978 .
[5] W. Fuller,et al. Distribution of the Estimators for Autoregressive Time Series with a Unit Root , 1979 .
[6] H. White. A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity , 1980 .
[7] R. Engle. Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .
[8] Futures Price Variability: A Test of Maturity and Volume Effects , 1986 .
[9] T. Bollerslev,et al. Generalized autoregressive conditional heteroskedasticity , 1986 .
[10] Kuldeep Shastri,et al. On the use of European models to price American options on foreign currency , 1986 .
[11] Louis O. Scott. Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application , 1987, Journal of Financial and Quantitative Analysis.
[12] D. Glassman. Exchange rate risk and transactions costs: Evidence from bid-ask spreads , 1987 .
[13] Jonathan M. Karpoff. The Relation between Price Changes and Trading Volume: A Survey , 1987, Journal of Financial and Quantitative Analysis.
[14] Alan G. White,et al. The Pricing of Options on Assets with Stochastic Volatilities , 1987 .
[15] Tests of the foreign exchange risk premium using the expected second moments implied by option pricing , 1988 .
[16] J. Stock. Estimating Continuous-Time Processes Subject to Time Deformation: An Application to Postwar U.S. GNP , 1988 .
[17] Random variance option pricing : empirical tests of the model and delta-sigma hedging , 1988 .
[18] Alan L. Tucker,et al. Predicting currency return volatility , 1989 .
[19] M. Chesney,et al. Pricing European Currency Options: A Comparison of the Modified Black-Scholes Model and a Random Variance Model , 1989, Journal of Financial and Quantitative Analysis.
[20] S. Turnbull,et al. Pricing foreign currency options with stochastic volatility , 1990 .
[21] Kenneth A. Froot,et al. Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market , 1990, SSRN Electronic Journal.
[22] Stephen Figlewski,et al. The Informational Content of Implied Volatility , 1993 .
[23] S. Heston. A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options , 1993 .
[24] L. Ederington,et al. How Markets Process Information: News Releases and Volatility , 1993 .
[25] Volume and Price Volatility in Yen Futures Markets: Within and Across Three Different Exchanges , 1993 .
[26] R. Lyons,et al. Tests of Microstructural Hypotheses in the Foreign Exchange Market , 1993 .
[27] Hendrik Bessembinder,et al. Bid-ask spreads in the interbank foreign exchange markets☆ , 1994 .
[28] M. Richardson,et al. A Direct Test of the Mixture of Distributions Hypothesis: Measuring the Daily Flow of Information , 1994, Journal of Financial and Quantitative Analysis.
[29] Philippe Jorion. Predicting Volatility in the Foreign Exchange Market , 1995 .
[30] J. Duan. THE GARCH OPTION PRICING MODEL , 1995 .
[31] Ton Vorst,et al. The Impact of Firm Specific News on Implied Volatilities , 1996 .