Foreign Currency Futures and Spot Market Dynamics: Specificity and Linkages

Małgorzata Doman ()
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Małgorzata Doman: Poznań University of Economics, Poland

Chapter 8 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 113-126 from University of Lodz

Abstract: M. Doman in Chapter 8 compares volatilities of four exchange rates (CAD, EUR, JPY, PLN) against USD by estimating bivariate (spot and future) DCC-EGARCH models. She finds specific characteristics of PLN/USD exchange rates dynamics (changing correlations, lagged cross-dependence) different from future-spot dynamics for other currencies.

Keywords: Spot market dynamics; Exchange rates; DCC-EGARCH model (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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