SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly
16 references·16 citing·41 second hopsampled
Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly (2001)Rethinking an old empirical puzzle: econo…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…The forward discount anomaly and the risk premium: A survey of recent evidence (1996)The forward discount anomaly …The handbook of international economics (1995)The handbook of international…Log-Periodogram Regression of Time Series with Long Range Dependence (1995)Log-Periodogram Regression of…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Puzzles in International Financial Markets (1994)Puzzles in International Fina…Convergence to Stochastic Integrals for Dependent Heterogeneous Processes (1992)Convergence to Stochastic Int…Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Heteroskedasticity and Autoco…Statistical Inference in Instrumental Variables Regression with I(1) Processes (1990)Statistical Inference in Inst…Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Market efficiency and cointeg…Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Understanding spurious regressions in econometrics (1986)Understanding spurious regres…Forward and spot exchange rates (1984)Forward and spot exchange rat…THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)THE ESTIMATION AND APPLICATIO…A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)A Monetary Approach To The Ex…A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach to the Ex…Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity (2018)Micro(structure) before macro…Economic significance of commodity return forecasts from the fractionally cointegrated VAR model (2017)Economic significance of comm…Carry trades, momentum trading and the forward premium anomaly (2011)Carry trades, momentum tradin…Fractional Integration and Cointegration: An Overview and an Empirical Application (2009)Fractional Integration and Co…EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND (2009)EXACT LOCAL WHITTLE ESTIMATIO…Rare Disasters and Exchange Rates (2008)Rare Disasters and Exchange R…Long memory and structural changes in the forward discount: An empirical investigation (2007)Long memory and structural ch…TESTING LONG‐HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE–ROGOFF PUZZLE* (2005)TESTING LONG‐HORIZON PREDICTI…Empirical exchange rate models and currency risk: some evidence from density forecasts (2005)Empirical exchange rate model…Econometric Analysis of Fisher's Equation (2005)Econometric Analysis of Fishe…Do asymmetric and nonlinear adjustments explain the forward premium anomaly? (2005)Do asymmetric and nonlinear a…Understanding the Fisher equation (2004)Understanding the Fisher equa…The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk (2004)The Information Content of Fo…Are the effects of monetary policy in the euro area greater in recessions than in booms? (2002)Are the effects of monetary p…The forward premium anomaly is not as bad as you think (2000)The forward premium anomaly i…An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets (2000)An alternative maximum likeli…Fractional Brownian Motions, Fractional Noises and Applications (1968)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Fractional Differencing (1981)The distribution of realized stock return volatility (2001)Modeling and Forecasting Realized Volatility (2003)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)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)Time Series Regression with a Unit Root (1987)Testing for a Unit Root in Time Series Regression (1988)Inference in Linear Time Series Models with some Unit Roots (1990)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)An Autoregressive Distributed-Lag Modelling Approach to Cointegration Analysis (2012)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)Long memory and persistence in aggregate output (1989)A Fractional Cointegration Analysis of Purchasing Power Parity (1993)The Distribution of Realized Exchange Rate Volatility (2001)Time Series Analysis, Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Forecasting Economic Time Series (2000)Tourism as a long-run economic growth factor: the Spanish case (2002)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)Generalized autoregressive conditional heteroskedasticity (1986)Statistical analysis of cointegration vectors (1988)Investor Psychology and Asset Pricing (2001)Exchange Rates and Fundamentals (2005)Carry Trades and Currency Crashes (2008)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Automatic Lag Selection in Covariance Matrix Estimation (1994)Emerging equity market volatility (1997)Bayesian Analysis of Stochastic Volatility Models (2002)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Bounds testing approaches to the analysis of level relationships (2001)Familiarity Breeds Investment (2001)Estimating Trade Restrictiveness Indices (2008)UNMASKING THE POLLUTION HAVEN EFFECT* (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1990Statistical Inference in Instrumental Variables Regression with I(1) Processes4,930 cited
  • 1991Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation4,039 cited
  • 1983THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS2,936 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1986Understanding spurious regressions in econometrics1,782 cited
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 1995The handbook of international economics1,373 cited
  • 1995Log-Periodogram Regression of Time Series with Long Range Dependence1,224 cited
  • 1996The forward discount anomaly and the risk premium: A survey of recent evidence1,119 cited
  • 1977A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence981 cited
  • 1976A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence824 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 1994Puzzles in International Financial Markets523 cited
  • 1989Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets

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

408 cited
  • 1992Convergence to Stochastic Integrals for Dependent Heterogeneous Processes341 cited
  • Cited by

    • 2000The forward premium anomaly is not as bad as you think330 cited
    • 2009EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND257 cited
    • 2005Do asymmetric and nonlinear adjustments explain the forward premium anomaly?156 cited
    • 2009Fractional Integration and Cointegration: An Overview and an Empirical Application124 cited
    • 2005TESTING LONG‐HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE–ROGOFF PUZZLE*116 cited
    • 2000An alternative maximum likelihood estimator of long-memory processes using compactly supported wavelets116 cited
    • 2007Long memory and structural changes in the forward discount: An empirical investigation106 cited
    • 2004Understanding the Fisher equation95 cited
    • 2008Rare Disasters and Exchange Rates92 cited
    • 2005Econometric Analysis of Fisher's Equation91 cited
    • 2011Carry trades, momentum trading and the forward premium anomaly88 cited
    • 2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity84 cited
    • 2004The Information Content of Forward and Futures Prices: Market Expectations and the Price of Risk76 cited
    • 2005Empirical exchange rate models and currency risk: some evidence from density forecasts76 cited
    • 2002Are the effects of monetary policy in the euro area greater in recessions than in booms?65 cited
    • 2017Economic significance of commodity return forecasts from the fractionally cointegrated VAR model64 cited