Journal ArticleDOI
Tests of the martingale hypothesis for foreign currency futures with time-varying volatility
TLDR
This paper tested the martingale hypothesis for daily and weekly rates of change of futures prices for five currencies and found some evidence against the null hypothesis for each currency with daily data, but only for one currency.About:
This article is published in International Journal of Forecasting.The article was published on 1987-01-01. It has received 127 citations till now. The article focuses on the topics: Futures contract & Null hypothesis.read more
Citations
More filters
Journal ArticleDOI
ARCH modeling in finance: A review of the theory and empirical evidence
TL;DR: An overview of some of the developments in the formulation of ARCH models and a survey of the numerous empirical applications using financial data can be found in this paper, where several suggestions for future research, including the implementation and tests of competing asset pricing theories, market microstructure models, information transmission mechanisms, dynamic hedging strategies, and pricing of derivative assets, are also discussed.
Journal ArticleDOI
Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model.
TL;DR: In this article, a multivariate time series model with time varying conditional variances and covariances but with constant conditional correlations is proposed, which is readily interpreted as an extension of the seemingly unrelated regression (SUR) model allowing for heteroskedasticity.
Journal ArticleDOI
Forecasting Volatility in Financial Markets: A Review
Abstract: Financial market volatility is an important input for investment, option pricing, and financial market regulation. The emphasis of this review article is on forecasting instead of modelling; it compares the volatility forecasting findings in 93 papers published and written in the last two decades. Provided in this paper as well are volatility definitions, insights into problematic issues of forecast evaluation, data frequency, extreme values and the measurement of "actual" volatility. We compare volatility forecasting performance of two main approaches; historical volatility models and volatility implied from options. Forecasting results are compared across different asset classes and geographical regions.
Journal ArticleDOI
The Message in Daily Exchange Rates: A Conditional-Variance Tale
TL;DR: In this paper, the authors confirm the presence of a unit root in the autoregressive polynomial of the univariate time series representation of daily exchange-rate data and show that the first differences of the logarithms of daily spot rates are approximately uncorrelated through time.
Journal ArticleDOI
Bivariate garch estimation of the optimal commodity futures Hedge
TL;DR: In this article, Bivariate GARCH models of cash and futures prices are estimated for the same six commodities and the optimal hedge ratio (OHR) is calculated as a ratio of the conditional covariance between Cash and futures to the conditional variance of futures.
References
More filters
Journal ArticleDOI
Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation
TL;DR: In this article, a new class of stochastic processes called autoregressive conditional heteroscedastic (ARCH) processes are introduced, which are mean zero, serially uncorrelated processes with nonconstant variances conditional on the past, but constant unconditional variances.
Journal ArticleDOI
Generalized autoregressive conditional heteroskedasticity
Tim Bollerslev,Tim Bollerslev +1 more
TL;DR: In this paper, a natural generalization of the ARCH (Autoregressive Conditional Heteroskedastic) process introduced in 1982 to allow for past conditional variances in the current conditional variance equation is proposed.
Journal ArticleDOI
On a measure of lack of fit in time series models
Greta M. Ljung,George E. P. Box +1 more
TL;DR: In this paper, the overall test for lack of fit in autoregressive-moving average models proposed by Box & Pierce (1970) is considered, and it is shown that a substantially improved approximation results from a simple modification of this test.
Book ChapterDOI
The variation of certain speculative prices
TL;DR: The classic model of the temporal variation of speculative prices (Bachelier 1900) assumes that successive changes of a price Z(t) are independent Gaussian random variables as discussed by the authors.
Journal ArticleDOI
Maximum likelihood estimation of misspecified models
TL;DR: In this article, the consequences and detection of model misspecification when using maximum likelihood techniques for estimation and inference are examined, and the properties of the quasi-maximum likelihood estimator and the information matrix are exploited to yield several useful tests.