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Premia in Forward Foreign Exchange as Unobserved Components: A Note
14 references·4 citing·40 second hop
Premia in Forward Foreign Exchange as Unobserved Components: A Note (1993)Premia in Forward Foreign Exchange as Uno…Temporal Aggregation of Garch Processes (1993)Temporal Aggregation of Garch…A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets (1990)A multivariate generalized AR…The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets (1989)The Time Variation of Risk an…The econometric analysis of models with risk terms (1988)The econometric analysis of m…Risk, Uncertainty and Exchange Rates (1987)Risk, Uncertainty and Exchang…Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal- Extraction Approach (1987)Forward Foreign Exchange Rate…The covariation of risk premiums and expected future spot exchange rates (1986)The covariation of risk premi…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 rates and international macroeconomics (1984)Exchange rates and internatio…Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models (1983)Risk Averse Speculation in th…Empirical exchange rate models of the seventies (1983)Empirical exchange rate model…Interest rates and currency prices in a two-country world (1982)Interest rates and currency p…Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis (1980)Forward Exchange Rates as Opt…More evidence on the dollar risk premium in the foreign exchange market (2004)More evidence on the dollar r…Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models (2000)Measuring the forward foreign…Foreign Exchange Risk Premium: Does Fiscal Policy Matter? Evidence From Italian Data (1997)Foreign Exchange Risk Premium…Big news in small samples (1997)Big news in small samplesExpectations and Exchange Rate Dynamics (1976)Macroeconomics and Reality (1980)The Purchasing Power Parity Puzzle (1996)Monetary Theory and Policy (1999)Forecasting Economic Time Series (2000)Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange (2003)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (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)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)Immiserizing Growth: A Geometrical Note (1958)Theory of Value (1959)Asset Prices in an Exchange Economy (1978)Trying to Explain Home Bias in Equities and Consumption (1999)The Economics of Exchange Rates (2003)Real-time price discovery in global stock, bond and foreign exchange markets (2007)Generalized autoregressive conditional heteroskedasticity (1986)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Prediction in dynamic models with time-dependent conditional variances (1992)Price discovery and volatility spillovers in the DJIA index and futures markets (1999)The Wishart Autoregressive process of multivariate stochastic volatility (2009)Specification Tests in Econometrics (1978)Nonparametric Estimation and Identification of Nonlinear ARCH Time Series Strong Convergence and Asymptotic Normality: Strong Convergence and Asymptotic Normality (1995)The day of the week effect on stock market volatility (2001)The day of the week effect on stock market volatility and volume: International evidence (2003)Capital mobility in the world economy: Theory and measurement (1986)Intertemporal asset pricing (1990)Predictable Stock Returns in the United States and Japan: A Study of Long‐Term Capital Market Integration (1992)Yield Spreads and Interest Rate Movements: A Bird's Eye View (1991)Does financial liberalization spur growth? (2005)Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long‐Run in High Frequency Returns (1997)The MIDAS Touch: Mixed Data Sampling Regression Models (2004)Parametric and Nonparametric Volatility Measurement (2010)Exchange Rates and Economic Fundamentals: A Methodological Comparison of Beers and Feers (1998)Oil prices and the rise and fall of the US real exchange rate (1998)Forecast comparisons in unstable environments (2010)
this work references cited by second hop

References

  • 1983Empirical exchange rate models of the seventies4,115 cited
  • 1984Forward and spot exchange rates2,167 cited
  • 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis2,112 cited
  • 1982Interest rates and currency prices in a two-country world1,256 cited
  • 1993Temporal Aggregation of Garch Processes678 cited
  • 1985Conditional variance and the risk premium in the foreign exchange market485 cited
  • 1984Exchange rates and international macroeconomics370 cited
  • 1988The econometric analysis of models with risk terms343 cited
  • 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets294 cited
  • 1983Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models276 cited
  • 1987Risk, Uncertainty and Exchange Rates235 cited
  • 1986The covariation of risk premiums and expected future spot exchange rates194 cited
  • 1989The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets185 cited
  • 1987Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal- Extraction Approach142 cited

Cited by

  • 1997

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Foreign Exchange Risk Premium: Does Fiscal Policy Matter? Evidence From Italian Data
26 cited
  • 2004More evidence on the dollar risk premium in the foreign exchange market22 cited
  • 2000Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models20 cited
  • 1997Big news in small samples12 cited