This paper provides empirical evidence on the relationship between trading volumes, volatility and bidask spreads in foreign exchange markets. It uses a new data set that includes daily data on trading volumes for the dollar exchange rates of seven currencies from emerging market countries. The sample period is 1 January 1998 to 30 June 1999. The results are broadly consistent with the findings...

The main idea behind this paper is that sterling has strong affinities with both the Deutsche mark (now euro) and dollar, reflecting their importance for UK external business, though they have been obscured by regime changes and temporary influences. In principle the D-mark should show comparable affinities, but in its case they have been eroded by the long process of monetary integration in Eu...

We overview different methods of modeling stock prices and exchange rates volatility, focusing on their ability to reproduce the empirical properties in the corresponding time series. The properties of volatility change across the time scales of observations. Adequacy of volatility models for describe price dynamics at several time horizons simultaneously Special attention is a central topic of...

This paper examines volatility models of currency futures contracts for three developed markets and two emerging markets. For each contract, standard models of the Unbiased Expectations Hypothesis (UEH) and Cost-of-Carry hypothesis (COC) are extended to derive volatility models corresponding to each of the two standard approaches. Each volatility model is formulated as a system of individual eq...

in this paper we examine the effect of the oil volatility, consumer price index (cpi) and industrial production on the stock market return in tehran stock exchange (tse). we used seasonal data in period 1378-1390 and auto regressive distributed method (ardl) for the short-term and long-term relationship between the variables. as results of research indicate, we find that there is positive short...

This paper investigates a general-equilibrium asset pricing model of the term structure of nominal interest rates. In a pure exchange economy with incomplete information, investors are unable to observe the expected growth rates of both exogenous real output and money supply and, therefore, engage in dynamic Bayesian inference. The dependence of term premia on beliefs allows the model to introd...