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A non-parametric analysis of covered interest parity in long-date capital markets
16 references·0 citing·40 second hop
A non-parametric analysis of covered interest parity in long-date capital markets (1994)A non-parametric analysis of covered inte…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…Currency swaps and long-term covered interest parity (1995)Currency swaps and long-term …Long-term covered interest parity: evidence from currency swaps (1993)Long-term covered interest pa…International Finance: The Markets and Financial Management of Multinational Business (1990)International Finance: The Ma…IS THE FOREIGN EXCHANGE MARKET EFFICIENT? (1989)IS THE FOREIGN EXCHANGE MARKE…Transactions Costs and Covered Interest Arbitrage: Theory and Evidence (1988)Transactions Costs and Covere…The empirical evidence on the efficiency of forward and futures foreign exchange markets (1988)The empirical evidence on the…Interest rate divergences among the major industrial nations (1988)Interest rate divergences amo…An Economic Analysis of Interest Rate Swaps (1986)An Economic Analysis of Inter…Transaction Costs and the Interest Parity Theorem (1985)Transaction Costs and the Int…Relationships among exchange rates, intervention, and interest rates: An empirical investigation (1984)Relationships among exchange …International monetary economics (1984)International monetary econom…Forward and spot exchange rates (1984)Forward and spot exchange rat…Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods (1977)Transaction Costs and Interes…Covered Interest Arbitrage: Unexploited Profits? (1975)Covered Interest Arbitrage: U…The Interest Rate Parity Theorem: A Reinterpretation (1973)The Interest Rate Parity Theo…A Tract on Monetary Reform (1924)International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence (1982)Beating the Foreign Exchange Market (1986)Arbitrage in the foreign exchange market: Turning on the microscope (2008)The Cost of Transacting (1968)Time series analysis and simultaneous equation econometric models (1974)Asset Markets, Exchange Rates and the Balance of Payments (1984)International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1985)The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market (2009)Capital Controls, Political Risk, and Deviations from Interest-Rate Parity (1980)International Capital Mobility in the 1990s (1993)The fundamental determinants of financial integration in the European Union (1996)Foreign currency-denominated borrowing in the absence of operating incentives☆ (2007)Term Structure of Interest Rates (2008)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)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)On the Impossibility of Informationally Efficient Markets (1980)A Revised Test of the Law of One Price Using Rational Price Expectations (1990)Nonlinear dynamics and covered interest rate parity (1998)Econometric policy evaluation: A critique (1976)Measurement of Linear Dependence and Feedback Between Multiple Time Series (1982)Foreign exchange market efficiency tests: Implications of recent empirical findings (1986)Is it signalling? Exchange intervention and the dollar-Deutschemark rate (1992)U.S. Intervention : Assessing the Probability of Success (1996)The pricing of commodity contracts (1976)An Analysis of Variable Rate Loan Contracts (1980)The Default Risk of Swaps (1991)Interest Rate Swaps and Corporate Financing Choices (1992)The Market Price of Risk in Interest Rate Swaps: The Roles of Default and Liquidity Risks* (2006)Asset‐pricing Puzzles and Incomplete Markets (1993)Global Currency Hedging (2010)Carry Trade and Momentum in Currency Markets (2011)Oil prices and the rise and fall of the US real exchange rate (1998)Affine Term Structure Models and the Forward Premium Anomaly (2001)A Long-Run Risks Explanation of Predictability Puzzles in Bond and Currency Markets (2012)Price Movements and Price Discovery in Futures and Cash Markets (1983)Capital mobility in the world economy: Theory and measurement (1986)
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References

  • 1984Forward and spot exchange rates2,167 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 1975Covered Interest Arbitrage: Unexploited Profits?429 cited
  • 1973The Interest Rate Parity Theorem: A Reinterpretation327 cited
  • 1977Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods319 cited
  • 1988The empirical evidence on the efficiency of forward and futures foreign exchange markets235 cited
  • 1988Transactions Costs and Covered Interest Arbitrage: Theory and Evidence157 cited
  • 1986An Economic Analysis of Interest Rate Swaps153 cited
  • 1993Long-term covered interest parity: evidence from currency swaps100 cited
  • 1984Relationships among exchange rates, intervention, and interest rates: An empirical investigation97 cited
  • 1984International monetary economics97 cited
  • 1985Transaction Costs and the Interest Parity Theorem46 cited
  • 1989IS THE FOREIGN EXCHANGE MARKET EFFICIENT?39 cited
  • 1990International Finance: The Markets and Financial Management of Multinational Business34 cited
  • 1995Currency swaps and long-term covered interest parity25 cited

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  • 1988Interest rate divergences among the major industrial nations25 cited
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