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The Implications of Mean-Variance Optimization for Four Questions in International Macroeconomics
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The Implications of Mean-Variance Optimization for Four Questions in International Macroeconomics (1985)The Implications of Mean-Variance Optimiz…Tests of rational expectations and no risk premium in forward exchange markets (1984)Tests of rational expectation…Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test (1984)Do asset-demand functions opt…The Theory of Commodity Price Stabilization: A Study in the Economics of Risk. (1983)The Theory of Commodity Price…Testing Rational Expectations and Efficiency in the Foreign Exchange Market (1983)Testing Rational Expectations…Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models (1983)Risk Averse Speculation in th…International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence (1982)International Interest-Rate a…The "Speculative Efficiency" Hypothesis (1981)The "Speculative Efficiency" …Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium (1981)Testing the Efficiency of the…A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis (1981)A Note on Exchange-Rate Expec…The economics of exchange rates (1980)The economics of exchange rat…Tests of Rational Expectations in the Forward Exchange Market (1980)Tests of Rational Expectation…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…Efficiency of Foreign Exchange Markets and Measures of Turbulence (1980)Efficiency of Foreign Exchang…The diversifiability of exchange risk (1979)The diversifiability of excha…Exchange Rates and the International Adjustment Process (1978)Exchange Rates and the Intern…Spot rates, forward rates and exchange market efficiency (1977)Spot rates, forward rates and…Expectations and Exchange Rate Dynamics (1976)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Domestic Saving and International Capital Movements in the Long Run and the Short Run (1982)Conditional variance and the risk premium in the foreign exchange market (1985)Capital mobility in the world economy: Theory and measurement (1986)A Tract on Monetary Reform (1924)In search of the exchange risk premium: A six-currency test assuming mean-variance optimization (1982)An investigation of risk and return in forward foreign exchange (1984)International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1985)Proof that Properly Anticipated Prices Fluctuate Randomly (2015)An Intertemporal Capital Asset Pricing Model (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)International Portfolio Choice and Corporation Finance: A Synthesis (1983)International Capital Mobility and Crowding-out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets? (1986)Tests of international CAPM with time‐varying covariances (1989)The Economic Consequences of Disappearing Government Debt (2000)Econometric Implications of the Rational Expectations Hypothesis (1980)Econometric tests of rationality and market efficiency (1989)Nonparametric estimation of structural models for high-frequency currency market data (1995)Market efficiency in agricultural futures markets (2002)A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence (1976)A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence (1977)Every minute counts in financial markets (1991)Asset Prices in an Exchange Economy (1978)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Presidential Address: Discount Rates (2011)An equilibrium model of the international capital market (1974)Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal- Extraction Approach (1987)Rationality of survey data and tests for market efficiency in the foreign exchange markets (1992)Intertemporal asset pricing (1990)Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)The "Speculative Efficiency" Hypothesis (1980)Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets (1989)Competitive Storage and Commodity Price Dynamics (1996)Effects of Non‐Farm Employment on Rural Income Inequality in Developing Countries: An Investment Perspective (2000)Overcoming Market Constraints to Pro-Poor Agricultural Growth in Sub-Saharan Africa (2006)
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References

  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1983The Theory of Commodity Price Stabilization: A Study in the Economics of Risk.632 cited
  • 1981The "Speculative Efficiency" Hypothesis440 cited
  • 1982International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates: A Review of Recent Evidence369 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models276 cited
  • 1981A Note on Exchange-Rate Expectations and Nominal Interest Differentials: A Test of the Fisher Hypothesis199 cited
  • 1977Spot rates, forward rates and exchange market efficiency195 cited
  • 1983Testing Rational Expectations and Efficiency in the Foreign Exchange Market182 cited
  • 1984Do asset-demand functions optimize over the mean and variance of real returns? A six-currency test151 cited
  • 1984Tests of rational expectations and no risk premium in forward exchange markets151 cited
  • 1981Testing the Efficiency of the Canadian-U.S. Exchange Market under the Assumption of no Risk Premium139 cited
  • 1980Efficiency of Foreign Exchange Markets and Measures of Turbulence134 cited
  • 1978Exchange Rates and the International Adjustment Process122 cited
  • 1979The diversifiability of exchange risk

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121 cited
  • 1980The economics of exchange rates115 cited
  • 1980Tests of Rational Expectations in the Forward Exchange Market110 cited
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