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Time-varying risk premia in the foreign currency futures basis
16 references·0 citing·36 second hop
Time-varying risk premia in the foreign currency futures basis (1996)Time-varying risk premia in the foreign c…A reconsideration of the uncovered interest parity relationship (1994)A reconsideration of the unco…Common risk factors in the returns on stocks and bonds (1993)Common risk factors in the re…Common Persistence in Conditional Variances (1993)Common Persistence in Conditi…Testing the null hypothesis of stationarity against the alternative of a unit root (1992)Testing the null hypothesis o…Volatility in the Foreign Currency Futures Market (1991)Volatility in the Foreign Cur…National Saving and Economic Performance (1991)National Saving and Economic …Financial Investment Opportunities and the Macroeconomy (1991)Financial Investment Opportun…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Dividend yields and expected stock returns (1988)Dividend yields and expected …Time Series Regression with a Unit Root (1987)Time Series Regression with a…Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods (1977)Transaction Costs and Interes…Covered Interest Arbitrage: Unexploited Profits? (1975)Covered Interest Arbitrage: U…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests for panel data (2001)Modelling Asymmetric Cointegration and Dynamic Multipliers in a Nonlinear ARDL Framework (2014)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)A five-factor asset pricing model (2014)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Trends and random walks in macroeconmic time series (1982)A simple panel unit root test in the presence of cross‐section dependence (2007)Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns (1993)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)Oil prices and the stock prices of alternative energy companies (2007)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
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References

  • 1993Common risk factors in the returns on stocks and bonds26,615 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 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
  • 1992Testing the null hypothesis of stationarity against the alternative of a unit root12,634 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1987Time Series Regression with a Unit Root2,821 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1991Financial Investment Opportunities and the Macroeconomy844 cited
  • 1994A reconsideration of the uncovered interest parity relationship445 cited
  • 1975Covered Interest Arbitrage: Unexploited Profits?429 cited
  • 1991National Saving and Economic Performance388 cited
  • 1977Transaction Costs and Interest Arbitrage: Tranquil versus Turbulent Periods319 cited
  • 1993Common Persistence in Conditional Variances313 cited

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  • 1991Volatility in the Foreign Currency Futures Market284 cited
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