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

Thomas McCurdy and Ieuan G. Morgan

International Journal of Forecasting, 1987, vol. 3, issue 1, 131-148

Date: 1987
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Working Paper: Tests of the Martingale Hypothesis for Foreign Currency Futures with Time-Varying Volatility (1986)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:3:y:1987:i:1:p:131-148

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