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CROSS‐SPECULATION IN CURRENCY FUTURES MARKETS. (2012). Röthig, Andreas ; Rothig, Andreas.
In: International Journal of Finance & Economics.
RePEc:wly:ijfiec:v:17:y:2012:i:3:p:272-278.

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  1. Chatrath A, Song F, Adrangi B. 2003. Futures trading activity and stock price volatility: some extensions. Applied Financial Economics 13: 655–664. Ederington LH, Lee JH. 2002. Who trades futures and how: evidence from the heating oil futures market. Journal of Business 75: 353–373.

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  3. Lütkepohl H. 2004. Vector autoregressive and vector error correction models. In Applied Time Series Econometrics, Lütkepohl H, Krätzig M (eds). Cambridge University Press: Cambridge.

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  5. Röthig A, Chiarella C. 2007. Investigating nonlinear speculation in cattle, corn, and hog futures markets using logistic smooth transition regression models. Journal of Futures Markets 27: 719–737.

  6. Röthig A. 2011. On speculators and hedgers in currency futures markets: who leads whom? International Journal of Finance and Economics 16: 63–69.

  7. Reitz S, Westerhoff F. 2007. Commodity price cycles and heterogeneous speculators: a STAR-GARCH model. Empirical Economics 33: 231–244.

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  9. Westerhoff F. 2008. The use of agent-based financial market models to test the effectiveness of regulatory policies. Journal of Economics and Statistics 228: 195–227.

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