Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

Bibliographic Details
Main Authors: McCurdy, Thomas H. (Author), Morgan, Ieuan G. (Author)
Format: Book
Language:English
Published: Kingston, Ontario Department of Economics, Queen's University 1986.
Series:Institute for Economic Research. Discussion paper no. 663
Subjects:
Economics > Mathematical models.
Martingales (Mathematics)