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Do asymmetric and nonlinear adjustments explain the forward premium anomaly?

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References

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1980The "Speculative Efficiency" Hypothesis

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402 cited

2000The forward premium anomaly is not as bad as you think330 cited

Cited by

2011Carry trades, momentum trading and the forward premium anomaly88 cited
2021How puzzling is the forward premium puzzle? A meta-analysis71 cited
2020The tail behavior of safe haven currencies: A cross-quantilogram analysis62 cited
2009Trading the forward bias: Are there limits to speculation?47 cited
2009Uncovered Interest Parity at Long Horizons: Evidence on Emerging Economies*34 cited
2015Uncovered interest parity: The long and the short of it31 cited
2009A New Look at the Forward Premium Puzzle30 cited
2013Nonlinear adjustment, purchasing power parity and the role of nominal exchange rates and prices28 cited
2014Time variation in the standard forward premium regression: Some new models and tests28 cited
2010The solution to the forward-bias puzzle27 cited
2010Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis26 cited
2007THE ECONOMICS OF UNCOVERED INTEREST PARITY CONDITION FOR EMERGING MARKETS: A SURVEY26 cited
2015Re-examining the real interest rate parity hypothesis (RIPH) using panel unit root tests with asymmetry and cross-section dependence23 cited
2012Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach23 cited
2008Japanese foreign exchange intervention and the yen-to-dollar exchange rate: A simultaneous equations approach using realized volatility23 cited
2021The existence and severity of the forward premium puzzle during tranquil and turbulent periods: Developed versus developing country currencies23 cited