SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise
16 references·16 citing·47 second hopsampled
Rethinking Deviations From Uncovered Interest Parity: the Role of Covariance Risk and Noise (1998)Rethinking Deviations From Uncovered Inte…The Message in Daily Exchange Rates (2002)The Message in Daily Exchange…Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries (1996)Real Exchange Rate Behavior: …Two Cases for Sand in the Wheels of International Finance (1995)Two Cases for Sand in the Whe…Exchange rates and fundamentals: Evidence on long-horizon predictability (1995)Exchange rates and fundamenta…Banking on currency forecasts: How predictable is change in money? (1995)Banking on currency forecasts…Puzzles in International Financial Markets (1994)Puzzles in International Fina…On biases in the measurement of foreign exchange risk premiums (1993)On biases in the measurement …Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets (1992)Characterizing Predictable Co…Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Implications of Security Market Data for Models of Dynamic Economies (1990)Implications of Security Mark…Expectations and Volatility of Consumption and Asset Returns (1990)Expectations and Volatility o…Anomalies: Foreign Exchange (1990)Anomalies: Foreign ExchangeForward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …Does the Stock Market Overreact? (1985)Does the Stock Market Overrea…Forward and spot exchange rates (1984)Forward and spot exchange rat…Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models (1983)Risk Averse Speculation in th…A sentiment-based explanation of the forward premium puzzle (2013)A sentiment-based explanation…The contribution of economic fundamentals to movements in exchange rates (2012)The contribution of economic …Investor Overconfidence and the Forward Premium Puzzle (2011)Investor Overconfidence and t…Carry trades, momentum trading and the forward premium anomaly (2011)Carry trades, momentum tradin…Speculative capital and currency carry trades (2010)Speculative capital and curre…Heterogeneity in exchange rate expectations: evidence on the chartist-fundamentalist approach (2009)Heterogeneity in exchange rat…How Has the Euro Changed the Monetary Transmission? (2008)How Has the Euro Changed the …How Has the Euro Changed the Monetary Transmission Mechanism? (2008)How Has the Euro Changed the …Can perpetual learning explain the forward-premium puzzle? (2008)Can perpetual learning explai…The impact of macroeconomic surprises on spot and forward foreign exchange markets (2005)The impact of macroeconomic s…Rational Inattention: A Solution to the Forward Discount Puzzle (2005)Rational Inattention: A Solut…Noise Trading and Exchange Rate Regimes (2003)Noise Trading and Exchange Ra…Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles (2003)Monetary Policy Rules in the …Asset Pricing with Observable Stochastic Discount Factors (2002)Asset Pricing with Observable…Cointegration and forward and spot exchange rate regressions (2000)Cointegration and forward and…Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders (1999)Macroeconomic Implications of…Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Comparing Predictive Accuracy (1994)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)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)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Testing for a Unit Root in Time Series Regression (1988)Nonlinear Mean‐Reversion in Real Exchange Rates: Toward a Solution To the Purchasing Power Parity Puzzles (2001)The Economics of Exchange Rates (2003)The Purchasing Power Parity Debate (2004)The General Theory of Employment, Interest and Money. (1936)The Behavior of Stock-Market Prices (1965)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Using Survey Data to Test Some Standard Propositions Regarding Exchange Rate Expectations (1985)Carry Trades and Currency Crashes (2008)Carry Trades and Currency Crashes (2008)What do we learn from the price of crude oil futures? (2010)Generalized autoregressive conditional heteroskedasticity (1986)Bivariate garch estimation of the optimal commodity futures Hedge (1991)ARCH MODELS: PROPERTIES, ESTIMATION AND TESTING (1993)Modeling and Forecasting Realized Volatility (2001)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Economic Action and Social Structure: The Problem of Embeddedness (1985)Efficient Capital Markets: II (1991)Technical trading rule profitability and foreign exchange intervention (1999)The Cross Section of Foreign Currency Risk Premia and Consumption Growth Risk: Comment (2011)Rare Disasters and Exchange Rates * (2015)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)Judgment Under Uncertainty: Heuristics and Biases. (1984)The Cross-Section of Expected Stock Returns (1992)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Multifactor Explanations of Asset Pricing Anomalies (1996)The Theory of Syndicates (1968)Asset Prices in an Exchange Economy (1978)Martingales and arbitrage in multiperiod securities markets (1979)The Conditional CAPM and the Cross-Section of Expected Returns (1996)Conditional Skewness in Asset Pricing Tests (2000)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)ARCH modeling in finance (1992)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1985Does the Stock Market Overreact?7,569 cited
  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1990Implications of Security Market Data for Models of Dynamic Economies1,088 cited
  • 1995Exchange rates and fundamentals: Evidence on long-horizon predictability1,044 cited
  • 1990Anomalies: Foreign Exchange902 cited
  • 1996Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries886 cited
  • 2002The Message in Daily Exchange Rates791 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 1994Puzzles in International Financial Markets523 cited
  • 1992Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets499 cited
  • 1995Two Cases for Sand in the Wheels of International Finance399 cited
  • 1995Banking on currency forecasts: How predictable is change in money?373 cited
  • 1990Expectations and Volatility of Consumption and Asset Returns301 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models276 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 1993On biases in the measurement of foreign exchange risk premiums275 cited
  • Cited by

    • 2011Investor Overconfidence and the Forward Premium Puzzle117 cited
    • 2000Cointegration and forward and spot exchange rate regressions107 cited
    • 2010Speculative capital and currency carry trades106 cited
    • 2008Can perpetual learning explain the forward-premium puzzle?102 cited
    • 2011Carry trades, momentum trading and the forward premium anomaly88 cited
    • 2013A sentiment-based explanation of the forward premium puzzle82 cited
    • 2009Heterogeneity in exchange rate expectations: evidence on the chartist-fundamentalist approach81 cited
    • 2008How Has the Euro Changed the Monetary Transmission?75 cited
    • 2003Monetary Policy Rules in the Open Economy: Effects on Welfare and Business Cycles74 cited
    • 2003Noise Trading and Exchange Rate Regimes73 cited
    • 1999Macroeconomic Implications of the Beliefs and Behavior of Foreign Exchange Traders69 cited
    • 2012The contribution of economic fundamentals to movements in exchange rates67 cited
    • 2005The impact of macroeconomic surprises on spot and forward foreign exchange markets66 cited
    • 2008How Has the Euro Changed the Monetary Transmission Mechanism?65 cited
    • 2002Asset Pricing with Observable Stochastic Discount Factors58 cited
    • 2005Rational Inattention: A Solution to the Forward Discount Puzzle58 cited