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

B-Tier

Journal: International Journal of Forecasting

Year: 1987

Volume: 3

Issue: 1

Pages: 131-148

Authors (2)

McCurdy, Thomas H. (University of Toronto) Morgan, Ieuan G. (not in RePEc)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count