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Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis
16 references·4 citing·36 second hop
Forward premiums as unbiased predictors of future currency depreciation: a non-parametric analysis (1997)Forward premiums as unbiased predictors o…The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…FOREIGN EXCHANGE RATE EXPECTATIONS: MICRO SURVEY DATA (2003)FOREIGN EXCHANGE RATE EXPECTA…A reconsideration of the uncovered interest parity relationship (1994)A reconsideration of the unco…On biases in the measurement of foreign exchange risk premiums (1993)On biases in the measurement …Forward Discount Bias: Is it an Exchange Risk Premium? (1989)Forward Discount Bias: Is it …The empirical evidence on the efficiency of forward and futures foreign exchange markets (1988)The empirical evidence on the…Conditional variance and the risk premium in the foreign exchange market (1985)Conditional variance and the …Forward and spot exchange rates (1984)Forward and spot exchange rat…Exchange Rate Theory and Practice (1984)Exchange Rate Theory and Prac…Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models (1983)Risk Averse Speculation in th…Exchange Rates and International Macroeconomics (1983)Exchange Rates and Internatio…International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence (1982)International Interest-Rate a…Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s (1982)Flexible Exchange Rates, Pric…The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s (1981)Flexible Exchange Rates, Pric…The "Speculative Efficiency" Hypothesis (1980)The "Speculative Efficiency" …Potato Price Forecasting with Holt-Winters and ARIMA Methods: A Case Study (2020)Potato Price Forecasting with…A Labeling Method for Financial Time Series Prediction Based on Trends (2020)A Labeling Method for Financi…The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests (2006)The forward premium anomaly: …Asymmetry in forward exchange rate bias: A puzzling result (1996)Asymmetry in forward exchange…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Interest rates and currency prices in a two-country world (1982)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)Expectations and Exchange Rate Dynamics (1976)Specification Tests in Econometrics (1978)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Exchange Rate Uncertainty, Forward Contracts, and International Portfolio Selection (1988)Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets (1995)Selecting macroeconomic variables as explanatory factors of emerging stock market returns (2001)Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Currency Hedging for International Portfolios (1993)Short- Term Interest Rates as Predictors of Inflation (2021)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)Optimal Properties of Exponentially Weighted Forecasts (1960)The forward premium anomaly is not as bad as you think (2000)Monetary Policy and Long-Horizon Uncovered Interest Parity (2004)Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle (2010)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)Linear, non-linear and essential foreign exchange rate prediction with simple technical trading rules (1999)On the Complexities of Complex Economic Dynamics (1999)Perspectives on the recent currency crisis literature (1999)ARCH modeling in finance (1992)Investor Psychology and Security Market Under‐ and Overreactions (1998)The Economics of Exchange Rates (2003)An investigation of risk and return in forward foreign exchange (1984)Nominal exchange rate regimes and the behavior of real exchange rates: Evidence and implications (1986)On Jump Processes in the Foreign Exchange and Stock Markets (1988)The dynamics of exchange rate volatility: A multivariate latent factor ARCH model (1989)
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References

  • 1984Forward and spot exchange rates2,167 cited
  • 1989Forward Discount Bias: Is it an Exchange Risk Premium?715 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited
  • 1981Flexible Exchange Rates, Prices, and the Role of "News": Lessons from the 1970s500 cited
  • 1984Exchange Rate Theory and Practice498 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1994A reconsideration of the uncovered interest parity relationship445 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited
  • 1982Flexible Exchange Rates, Prices and the Role of ‘News’: Lessons from the 1970s433 cited
  • 1980The "Speculative Efficiency" Hypothesis402 cited
  • 1982International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence369 cited
  • 2003FOREIGN EXCHANGE RATE EXPECTATIONS: MICRO SURVEY DATA367 cited
  • 1983Exchange Rates and International Macroeconomics311 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models276 cited
  • 1993On biases in the measurement of foreign exchange risk premiums

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275 cited
  • 1988The empirical evidence on the efficiency of forward and futures foreign exchange markets235 cited
  • Cited by

    • 2020A Labeling Method for Financial Time Series Prediction Based on Trends78 cited
    • 2020Potato Price Forecasting with Holt-Winters and ARIMA Methods: A Case Study51 cited
    • 1996Asymmetry in forward exchange rate bias: A puzzling result37 cited
    • 2006The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests33 cited