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Exchange Rates and Long‐Term Bonds*
16 references·0 citing·41 second hop
Exchange Rates and Long‐Term Bonds* (2012)Exchange Rates and Long‐Term Bonds*Uncovered interest rate parity and the term structure (2007)Uncovered interest rate parit…The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets (2005)The (partial) rehabilitation …Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era (2005)Testing Uncovered Interest Pa…Uncovered Interest Parity in Crisis (2002)Uncovered Interest Parity in …Uncovered Interest Parity Revisited (2001)Uncovered Interest Parity Rev…Long-Horizon Uncovered Interest Rate Parity (1998)Long-Horizon Uncovered Intere…The Microstructure of Foreign Exchange Markets (1997)The Microstructure of Foreign…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Exchange Rate Economics: What's Wrong with the Conventional Macro Approach? (1996)Exchange Rate Economics: What…A reconsideration of the uncovered interest parity relationship (1994)A reconsideration of the unco…Accounting for Forward Rates in Markets for Foreign Currency (1993)Accounting for Forward Rates …Risk, Uncertainty and Exchange Rates (1987)Risk, Uncertainty and Exchang…Parsimonious Modeling of Yield Curves (1987)Parsimonious Modeling of Yiel…Is it Risk? Explaining Deviations from Uncovered Interest Parity (1987)Is it Risk? Explaining Deviat…Forward and spot exchange rates (1984)Forward and spot exchange rat…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Long memory processes and fractional integration in econometrics (1996)Predictive regressions (1999)Presidential Address: Discount Rates (2011)Asset Prices in an Exchange Economy (1978)The equity premium: A puzzle (1985)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Asset‐pricing Puzzles and Incomplete Markets (1993)Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise (1998)The carry trade and fundamentals: Nothing to fear but FEER itself (2012)Econometric policy evaluation: A critique (1976)Generalized autoregressive conditional heteroskedasticity (1986)A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence (1995)Uncertainty and currency crises: Evidence from survey data (2010)Anomalies: Foreign Exchange (1990)Puzzles in International Financial Markets (1994)An Economic Evaluation of Empirical Exchange Rate Models (2008)Assessing financial market integration in Asia – Equity markets (2010)Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Production-Based Asset Pricing and the Link Between Stock Returns and Economic Fluctuations (1991)Exchange Rates and Interest Parity (2014)The Share of Systematic Variation in Bilateral Exchange Rates (2017)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)Optimal Properties of Exponentially Weighted Forecasts (1960)The forward premium anomaly is not as bad as you think (2000)Monetary Policy and Long-Horizon Uncovered Interest Parity (2004)Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence (1995)Order Flow and Exchange Rate Dynamics (1999)Purchasing Power Parity (2003)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Explaining the Rate Spread on Corporate Bonds (2001)Forecasting the Term Structure of Government Bond Yields (2003)The U.S. Treasury yield curve: 1961 to the present (2007)
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References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1987Parsimonious Modeling of Yield Curves2,918 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1994A reconsideration of the uncovered interest parity relationship445 cited
  • 2005The (partial) rehabilitation of interest rate parity in the floating rate era: Longer horizons, alternative expectations, and emerging markets281 cited
  • 1987Risk, Uncertainty and Exchange Rates235 cited
  • 1996Exchange Rate Economics: What's Wrong with the Conventional Macro Approach?224 cited
  • 1993Accounting for Forward Rates in Markets for Foreign Currency208 cited
  • 2002Uncovered Interest Parity in Crisis206 cited
  • 2001Uncovered Interest Parity Revisited192 cited
  • 2007Uncovered interest rate parity and the term structure179 cited
  • 1997The Microstructure of Foreign Exchange Markets178 cited
  • 1998Long-Horizon Uncovered Interest Rate Parity174 cited
  • 2005Testing Uncovered Interest Parity at Short and Long Horizons during the Post-Bretton Woods Era

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163 cited
  • 1987Is it Risk? Explaining Deviations from Uncovered Interest Parity151 cited
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