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The unbiased forward rate hypothesis re-examined
16 references·10 citing·26 second hop
The unbiased forward rate hypothesis re-examined (1995)The unbiased forward rate hypothesis re-e…Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Estimating Long-Run Economic Equilibria (1991)Estimating Long-Run Economic …The Foreign Exchange Market: Theory and Econometric Evidence. (1990)The Foreign Exchange Market: …Asymptotic Properties of Residual Based Tests for Cointegration (1990)Asymptotic Properties of Resi…Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market efficiency and cointeg…Common Stochastic Trends in a System of Exchange Rates (1989)Common Stochastic Trends in a…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES (1986)DEVELOPMENTS IN THE STUDY OF …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 …On Unit Roots and the Empirical Modeling of Exchange Rates (1982)On Unit Roots and the Empiric…The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…The "Speculative Efficiency" Hypothesis (1980)The "Speculative Efficiency" …THE FORWARD EXCHANGE RATE, EXPECTATIONS, AND DEMAND FOR MONEY: THE GERMAN HYPERINFLATION (1977)THE FORWARD EXCHANGE RATE, EX…Time Series Studies On Indonesian Rupiah?Usd Rate 1995-2005 (2009)Time Series Studies On Indone…Testing for efficiency in selected developing foreign exchange markets: An equilibrium-based approach (2008)Testing for efficiency in sel…Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis (2007)Estimating Cointegrated Panel…Empirical exchange rate models and currency risk: some evidence from density forecasts (2005)Empirical exchange rate model…Does the forward premium anomaly depend on the sample period used or on the sign of the premium? (2003)Does the forward premium anom…The forward rate unbiasedness hypothesis revisited (2002)The forward rate unbiasedness…The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond (2001)The Out-of-Sample Success of …Non-Informative Tests of the Unbiased Forward Exchange Rate (1999)Non-Informative Tests of the …A note on the foreign exchange market efficiency hypothesis (1999)A note on the foreign exchang…Unbiasedness of the Forward Exchange Rates (1997)Unbiasedness of the Forward E…Statistical analysis of cointegration vectors (1988)Tests for Parameter Instability in Regressions with 1(1) Processes (1992)Fully modified OLS for heterogeneous cointegrated panels (2004)On the estimation and inference of a cointegrated regression in panel data (2004)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Some recent development in a concept of causality (1988)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)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)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Spurious regression and residual-based tests for cointegration in panel data (1999)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Testing for Error Correction in Panel Data* (2007)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Time-Varying Distributions and Dynamic Hedging with Foreign Currency Futures (1993)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)
this work references cited by second hop

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
  • 1986DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLES2,567 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1990Asymptotic Properties of Residual Based Tests for Cointegration1,980 cited
  • 1991Optimal Inference in Cointegrated Systems1,110 cited
  • 1991Estimating Long-Run Economic Equilibria854 cited
  • 1989Common Stochastic Trends in a System of Exchange Rates626 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited
  • 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets408 cited
  • 1980The "Speculative Efficiency" Hypothesis402 cited
  • 1982On Unit Roots and the Empirical Modeling of Exchange Rates359 cited
  • 1984An investigation of risk and return in forward foreign exchange322 cited
  • 1977THE FORWARD EXCHANGE RATE, EXPECTATIONS, AND DEMAND FOR MONEY: THE GERMAN HYPERINFLATION269 cited

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  • 1990The Foreign Exchange Market: Theory and Econometric Evidence.197 cited
  • Cited by

    • 2005Empirical exchange rate models and currency risk: some evidence from density forecasts76 cited
    • 2001The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond73 cited
    • 2007Estimating Cointegrated Panels with Common Factors and the Forward Rate Unbiasedness Hypothesis64 cited
    • 1999Non-Informative Tests of the Unbiased Forward Exchange Rate40 cited
    • 1997Unbiasedness of the Forward Exchange Rates26 cited
    • 2003Does the forward premium anomaly depend on the sample period used or on the sign of the premium?24 cited
    • 2008Testing for efficiency in selected developing foreign exchange markets: An equilibrium-based approach21 cited
    • 2002The forward rate unbiasedness hypothesis revisited19 cited
    • 1999A note on the foreign exchange market efficiency hypothesis19 cited
    • 2009Time Series Studies On Indonesian Rupiah?Usd Rate 1995-200518 cited