Time-varying forward bias and the expected excess return

Journal of International Financial Markets, Institutions and Money

Volumn 12, Issue 2, 2002, Pages 119-137

  Zhu, Zhen ^a  

^a UNIVERSITY OF CENTRAL OKLAHOMA   (United States)

Author keywords

Forward bias; International asset pricing models; Kalman filter technique; Time varying coefficient model

Indexed keywords

EID: 0036159805     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(01)00053-1     Document Type: Article

References (19)

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9. Forward discount bias: Is it an exchange risk premium?
10. Understanding spot and forward exchange rate regressions
11. Time Series Analysis
12. Risk, uncertainty and exchange rates
13. The covariation of risk premium and expected future spot exchange rates
14. Puzzles in International Financial Markets
15. Interest rates and currency prices in a two-country world
16. Rethinking deviations from uncovered interest parity: The role of covariance risk and noise
17. Does intervention explain the forward discount puzzle
18. Forward exchange rates, expected spot rates, and premia: A signal extraction approach
19. Assymmetry in forward exchange rate bias: A puzzling result