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The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity: A New Perspective
16 references·1 citing·39 second hop
The Forward Bias Puzzle and Nonlinearity in Deviations from Uncovered Interest Parity: A New Perspective (2005)The Forward Bias Puzzle and Nonlinearity …The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…The Economics of Exchange Rates (2003)The Economics of Exchange Rat…The Microstructure Approach to Exchange Rates (2001)The Microstructure Approach t…Affine Term Structure Models and the Forward Premium Anomaly (2001)Affine Term Structure Models …The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)The Six Major Puzzles in Inte…The Six Major Puzzles in International Macroeconomics: Is There a Common Cause? (2000)The Six Major Puzzles in Inte…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …Testing the adequacy of smooth transition autoregressive models (1996)Testing the adequacy of smoot…The Limits of Arbitrage (1995)The Limits of ArbitrageThe Sharpe Ratio (1994)The Sharpe RatioPuzzles in International Financial Markets (1994)Puzzles in International Fina…Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World (1992)Dynamic Equilibrium and the R…Forecasting, Structural Time Series Models and the Kalman Filter (1990)Forecasting, Structural Time …Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeForward and spot exchange rates (1984)Forward and spot exchange rat…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Can exchange rate volatility explain persistence in the forward premium? (2007)Can exchange rate volatility …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)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)A model of investor sentiment /The Behavior of Stock-Market Prices (1965)The Cross-Section of Expected Stock Returns (1992)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Market Liquidity and Funding Liquidity (2008)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)Capital Mobility and Stabilization Policy Under Fixed and Flexible Exchange Rates (1963)Expectations and Exchange Rate Dynamics (1976)Empirical exchange rate models of the seventies (1983)The obstinate passion of Foreign Exchange Professionals: \ntechnical analysis (2006)Firm-Specific Assets and the Link Between Exchange Rates and Foreign Direct Investment (2019)Generalized autoregressive conditional heteroskedasticity (1986)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)The Limits of Financial Globalization (2005)An Equilibrium Model of “Global Imbalances” and Low Interest Rates (2008)Cultural Biases in Economic Exchange? * (2009)Order Flow and Exchange Rate Dynamics (1999)Market microstructure: A survey (2000)Common Risk Factors in Currency Markets (2011)Exchange Rate Pass-Through, Exchange Rate Volatility, and Exchange Rate Disconnect (2002)Optimal Currency Areas (2002)Information costs and home bias: an analysis of US holdings of foreign equities (2004)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Handbook on Constructing Composite Indicators (2005)Handbook on Constructing Composite Indicators: Methodology and User Guide (2008)
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References

  • 1995The Limits of Arbitrage5,282 cited
  • 1990Forecasting, Structural Time Series Models and the Kalman Filter4,101 cited
  • 1994The Sharpe Ratio2,542 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?2,067 cited
  • 2003The Economics of Exchange Rates1,327 cited
  • 2000The Six Major Puzzles in International Macroeconomics: Is There a Common Cause?1,182 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 2001The Microstructure Approach to Exchange Rates1,043 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 1992Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World642 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 2001Affine Term Structure Models and the Forward Premium Anomaly594 cited
  • 1996Testing the adequacy of smooth transition autoregressive models536 cited

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1994
Puzzles in International Financial Markets
523 cited

Cited by

  • 2007Can exchange rate volatility explain persistence in the forward premium?23 cited