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| Author: | Kodres, L. |
| Title: | Tests of unbiasedness in the foreign exchange futures markets: an examination of price limits and conditional heteroscedasticity |
| Journal: | Journal of Business
1993 : JUL, VOL. 66:3, p. 463-490 |
| Index terms: | EXAMINATIONS FOREIGN EXCHANGE FUTURE |
| Language: | eng |
| Abstract: | Daily price limits, an institutional feature of futures markets, truncate the distribution of price changes and dampen the variance. Previous tests of the unbiasedness hypothesis using daily foreigh exchange futures prices have accounted for the observed conditional heteroscedasticity in the data but have neglected to adequately incorporate the additional effects of daily price limits. This article examines both time variation and truncation of futures price changes. |
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