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An investigation of risk and return in forward foreign exchange · Study

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ArticleAn investigation of risk and return in forward foreign exchange

Robert J. Hodrick1984

OA

Articlegreen1984

An investigation of risk and return in forward foreign exchange

Robert J. Hodrick

322 citations·0/0 files stored·Journal of International Money and Finance

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Financial Markets and Investment Strategies Monetary Policy and Economic Impact Financial Risk and Volatility Modeling

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 322 citations exist upstream.

References

1978Asset Prices in an Exchange Economy 1977A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities 1980Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis 1976The Valuation of Uncertain Income Streams and the Pricing of Options 1983Stochastic Consumption, Risk Aversion, and the Temporal Behavior of Asset Returns 1982Interest rates and currency prices in a two-country world 1981A model of international asset pricing

Cited by

2013Liquidity in the Foreign Exchange Market: Measurement, Commonality, and Risk Premiums 1985International Capital Mobility and Crowding Out in the U.S. Economy: Imperfect Integration of Financial Markets or of Goods Markets?1995Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets 1995The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence 1982The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement 1990A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets 2002Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets 1989Changes in Expected Security Returns, Risk, and the Level of Interest Rates

Details

Year1984

Typearticle

Published1984-04-01

VenueJournal of International Money and Finance

ISSN-L0261-5606

Languageen

Citations322

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.1016/0261-5606(84)90027-5

openalex_workW2889832544

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