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Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co- Integration, and Stochastic Coefficients
0 references·16 citing·49 second hopsampled
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  • 2003The predictive power of implied volatility: Evidence from 35 futures markets198 cited
  • 1993Cointegration and error correction models: Intertemporal causality between index and futures prices179 cited
  • 2000Price transmission dynamics between ADRs and their underlying foreign securities161 cited
  • 1997Central bank intervention and trading rule profits in foreign exchange markets151 cited
  • 1994Cointegration and market efficiency in commodities futures markets131 cited
  • 2006Long Memory and the Relation Between Implied and Realized Volatility126 cited
  • 2000Cointegration and forward and spot exchange rate regressions107 cited
  • 2004The Unbiasedness Hypothesis in the Freight Forward Market: Evidence from Cointegration Tests72 cited
  • 1999Trading costs and price discovery across stock index futures and cash markets62 cited
  • 1996Cointegration among Asian currencies: Evidence of the increasing influence of the Japanese yen54 cited
  • 2001Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency46 cited
  • 2004Testing Forward Exchange Rate Unbiasedness Efficiently: A Semiparametric Approach45 cited
  • 1995The unbiased forward rate hypothesis re-examined43 cited
  • 1998

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The hedging effectiveness of DAX futures
42 cited
  • 2007Forecasting Currency Excess Returns: Can the Forward Bias Be Exploited?41 cited
  • 1995Investigating the robustness of tests of the market efficiency hypothesis: contributions from cointegration techniques on the Canadian floating dollar41 cited