Journal ArticleDOI
The probability distribution of futures prices in the foreign exchange market: A comparison of candidate processes
Roger A. Fujihara,Keehwan Park +1 more
About:
This article is published in Journal of Futures Markets.The article was published on 1990-12-01. It has received 29 citations till now. The article focuses on the topics: Forward market & Futures contract.read more
Citations
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Journal ArticleDOI
Nonlinear dynamics of daily futures prices: Conditional heteroskedasticity or chaos?
Journal ArticleDOI
Jump Processes in Commodity Futures Prices and Options Pricing
Jimmy E. Hilliard,Jorge A. Reis +1 more
TL;DR: In this article, recent transactions data on futures and futures options are used to test out-of-sample options using American versions of Black's diffusion and Bates's jump-diffusion models.
Journal ArticleDOI
The european exchange rate mechanism and the volatility of the sterling-deutschemark exchange rate*
Bahram Pesaran,G. Robinson +1 more
TL;DR: The authors analyzes the sterling-deutsche mark exchange rate before and post-ERM entry, and finds that ERM membership significantly reduced volatility, characterized by the disappearance of ARCH effects.
Journal ArticleDOI
Daily futures price changes and non-linear dynamics
TL;DR: In this paper, the distribution of daily futures returns is tested and the GARCH(1, 1) process with residuals following a Student distribution is shown to reduce serial dependence and leptokurtosis.
References
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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
Option pricing when underlying stock returns are discontinuous
TL;DR: In this article, an option pricing formula was derived for the more general case when the underlying stock returns are generated by a mixture of both continuous and jump processes, and the derived formula has most of the attractive features of the original Black-Scholes formula.
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
Elements of Econometrics.
Ian Domowitz,Jan Kmenta +1 more
TL;DR: The Elements of Econometrics as mentioned in this paper is a textbook for upper-level undergraduate and master's degree courses and may usefully serve as a supplement for traditional Ph.D. courses in economics.