Foreign Exchange Futures Trading and Spot Market Volatility in Thailand
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- Guru, Anuradha, 2010. "Interplay Between Exchange Traded Currency Futures Markets, Spot Markets and Forward Markets: A Study on India," Indian Economic Review, Department of Economics, Delhi School of Economics, vol. 45(1), pages 111-130.
- Arjun Chatrath & Sanjay Ramchander & Frank Song, 1996. "The role of futures trading activity in exchange rate volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 16(5), pages 561-584, August.
- Bessembinder, Hendrik & Seguin, Paul J, 1992. "Futures-Trading Activity and Stock Price Volatility," Journal of Finance, American Finance Association, vol. 47(5), pages 2015-2034, December.
- Shastri, Kuldeep & Sultan, Jahangir & Tandon, Kishore, 1996. "The impact of the listing of options in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 15(1), pages 37-64, February.
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Keywords
foreign exchange futures; spot volatility; GARCH family models; VAR;All these keywords.
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