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The Covariation of Risk Premiums and Expected Future Spot Exchange Rates
16 references·5 citing·44 second hop
The Covariation of Risk Premiums and Expected Future Spot Exchange Rates (1985)The Covariation of Risk Premiums and Expe…RISK, INFORMATION, AND FORWARD EXCHANGE RATES (2013)RISK, INFORMATION, AND FORWAR…The Pricing of Forward Contracts for Foreign Exchange (1985)The Pricing of Forward Contra…On time varying risk premia in the foreign exchange market: An econometric analysis (1985)On time varying risk premia i…Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Tests of rational expectations and no risk premium in forward exchange markets (1984)Tests of rational expectation…Testing for the absence of expected real profits from forward market speculation (1984)Testing for the absence of ex…Forward and spot exchange rates (1984)Forward and spot exchange rat…An investigation of risk and return in forward foreign exchange (1984)An investigation of risk and …Optimal fiscal and monetary policy in an economy without capital (1983)Optimal fiscal and monetary p…International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence (1982)International Interest-Rate a…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …The ‘peso problem’ in testing the efficiency of forward exchange markets (1980)The ‘peso problem’ in testing…Stochastic prices and tests of efficiency of foreign exchange markets (1980)Stochastic prices and tests o…Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Do Stock Prices Move Too Much…The Role of Securities in the Optimal Allocation of Risk-bearing (1964)The Role of Securities in the…An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample? (2013)An analysis of forward exchan…What UIP tests on extreme samples reveal about the missing variable (2005)What UIP tests on extreme sam…Technical Trading Rules in the European Monetary System (1998)Technical Trading Rules in th…The Foreign Exchange Risk Premium: Is It Real? (1995)The Foreign Exchange Risk Pre…The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets (1988)The Time-Variation of Risk an…Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Does the Stock Market Overreact? 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(1985)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums (2013)The statistical properties of daily foreign exchange rates: 1974–1983 (1988)Nonparametric exchange rate prediction? (1990)A test for volatility spillover with application to exchange rates (2001)The "Speculative Efficiency" Hypothesis (1980)Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market Insurance, Self-Insurance, and Self-Protection (1992)Nonparametric Estimation of State‐Price Densities Implicit in Financial Asset Prices (1998)
this work references cited by second hop

References

  • 1980Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?4,020 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1983Optimal fiscal and monetary policy in an economy without capital1,877 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1964The Role of Securities in the Optimal Allocation of Risk-bearing1,172 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited
  • 1982International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence369 cited
  • 1984An investigation of risk and return in forward foreign exchange322 cited
  • 1980The ‘peso problem’ in testing the efficiency of forward exchange markets312 cited
  • 1985On time varying risk premia in the foreign exchange market: An econometric analysis164 cited
  • 1984Tests of rational expectations and no risk premium in forward exchange markets151 cited
  • 1985The Pricing of Forward Contracts for Foreign Exchange136 cited
  • 1980Stochastic prices and tests of efficiency of foreign exchange markets80 cited
  • 1984Testing for the absence of expected real profits from forward market speculation

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65 cited
  • 2013RISK, INFORMATION, AND FORWARD EXCHANGE RATES56 cited
  • Cited by

    • 1998Technical Trading Rules in the European Monetary System46 cited
    • 1988The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets27 cited
    • 2013An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?20 cited
    • 1995The Foreign Exchange Risk Premium: Is It Real?19 cited
    • 2005What UIP tests on extreme samples reveal about the missing variable13 cited