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Title: Comparison of exchange rate volatility in the spot and forward markets.
Authors: Lim, Raymond Kiat Jiang.
Ng, Meng Chong.
Tan, Yeok Koon.
Keywords: DRNTU::Business::Finance::Foreign exchange
Issue Date: 2001
Abstract: This paper seeks to compare the spot and forward exchange rate volatility of the major currencies. Under the assumption of non-stochastic interest rates, if the currency markets are efficient in the sense that it is not possible to arbitrage between the two markets, the volatility in the two markets should not be significantly different from each other.
Rights: Nanyang Technological University
Fulltext Permission: restricted
Fulltext Availability: With Fulltext
Appears in Collections:NBS Student Reports (FYP/IA/PA/PI)

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