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INTERTEMPORAL FOREIGN EXCHANGE RATE BEHAVIOUR IN
of the U S Canadian Dollar Market
SUMMARY AND CONCLUSIONS ON THE EFFICIENCY OF
99 level arbitrage transaction autocorrelation function Bank of Canada Canada intervened Canadian dollar Canadian Treasury bills CHANGES IN VARIANCE delivery date Dollar Foreign Exchange economic empirical equation exchange rate period exchange rate series exchange rate system F-test finance company paper finance paper flexible exchange rate flexible period floating exchange rate foreign currency foreign exchange market forward contracts forward exchange market forward exchange rate forward foreign exchange forward rate future spot rates incentives using Treasury Individual Autocorrelations interest arbitrage incentives intertemporal equilibrium kurtosis large stationary variances month forward non-stationary random walk normally distributed o,t+n pegged exchange rate pegged period percent level random walk hypothesis random walk model regression model rH rH Six Month Small Stationary Variance speculative behavior speculator's spot and forward spot exchange rate spot rate Stationary Variance Series statistic TABLE temporal equilibrium model tests of normality U.S. dollar U.S.-Canadian dollar market uncertainty variable commission variance changes