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Volatility

Is there a maturity effect on the eur/usd foreign exchange market?

Créé le

03.06.2016

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Mis à jour le

13.06.2016

Does the maturity of future contracts have an impact on volatility in the FOREX market? Our in depth study shows that the weekly rolling volatility increases when approaching the expiration date of future contracts, which creates an upward or downward trend closer to this date.

À retrouver dans la revue
Banque et Stratégie Nº348
RB