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Forward exchange rates and risk premiums in artificial economies
16 references·6 citing·35 second hop
Forward exchange rates and risk premiums in artificial economies (1991)Forward exchange rates and risk premiums …The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets (2014)The Empirical Evidence on the…Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Habit Formation: A Resolution…The equity risk premium a solution (1988)The equity risk premium a sol…Modelling the persistence of conditional variances (1986)Modelling the persistence of …The equity premium: A puzzle (1985)The equity premium: A puzzleForward and spot exchange rates (1984)Forward and spot exchange rat…Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns (1983)Stochastic Consumption, Risk …Time to Build and Aggregate Fluctuations (1982)Time to Build and Aggregate F…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market (1979)Empirical regularities in the…Asset Prices in an Exchange Economy (1978)Asset Prices in an Exchange E…THE DEMAND FOR RISKY ASSETS (1977)THE DEMAND FOR RISKY ASSETSEFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)EFFICIENT CAPITAL MARKETS: A …Efficient Capital Markets: A Review of Theory and Empirical Work (1970)Efficient Capital Markets: A …Gradual learning about shocks and the forward premium puzzle (2018)Gradual learning about shocks…Exchange rate expectations: controlled experiments with artificial traders (2004)Exchange rate expectations: c…The Forward Premium Puzzle Revisited (2002)The Forward Premium Puzzle Re…Essays on exchange rates, prices and interest rates (1997)Essays on exchange rates, pri…The Implications of First-Order Risk Aversion for Asset Market Risk Premiums (1994)The Implications of First-Ord…Monetary Policy and the Uncovered Interest Rate Parity PuzzleMonetary Policy and the Uncov…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)Multivariate GARCH models: a surveyDistribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)The Distribution of Realized Exchange Rate Volatility (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Noise Trader Risk in Financial Markets (1990)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)Rational Expectations and the Theory of Price Movements (1961)Aspects of the Theory of Risk-Bearing. (1966)Economic Forces and the Stock Market (1986)Efficient Capital Markets: II (1991)The Behavior of Stock-Market Prices (1965)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Users of the world, unite! The challenges and opportunities of Social Media (2009)Aggregate Dynamics and Staggered Contracts (1980)Macroeconomics and Reality (1980)Tobin's Marginal q and Average q: A Neoclassical Interpretation (1982)Production, growth and business cycles (1988)An Estimated Dynamic Stochastic General Equilibrium Model of the Euro Area (2003)An Intertemporal Capital Asset Pricing Model (1973)ARCH modeling in finance (1992)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Econometric Analysis of Cross Section and Panel Data (2001)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)
this work references cited by second hop

References

  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*15,723 cited
  • 1970Efficient Capital Markets: A Review of Theory and Empirical Work13,616 cited
  • 1982Time to Build and Aggregate Fluctuations5,933 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 1978Asset Prices in an Exchange Economy5,057 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1990Habit Formation: A Resolution of the Equity Premium Puzzle2,129 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1986Modelling the persistence of conditional variances2,068 cited
  • 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns1,549 cited
  • 1988The equity risk premium a solution1,397 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1977THE DEMAND FOR RISKY ASSETS1,052 cited
  • 2014The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets601 cited

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  • 1979Empirical regularities in the behavior of exchange rates and theories of the foreign exchange market502 cited
  • Cited by

    • 1994The Implications of First-Order Risk Aversion for Asset Market Risk Premiums61 cited
    • 1997Essays on exchange rates, prices and interest rates26 cited
    • 2018Gradual learning about shocks and the forward premium puzzle20 cited
    • 2002The Forward Premium Puzzle Revisited17 cited
    • n.d.Monetary Policy and the Uncovered Interest Rate Parity Puzzle17 cited
    • 2004Exchange rate expectations: controlled experiments with artificial traders15 cited