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Journal of Empirical Finance
Volumn 8, Issue 5, 2001, Pages 695-704
The bias of tests for a risk premium in forward exchange rates
Author keywords

431; Expectations theory; Forward exchange rates; Risk premium
Indexed keywords

EID: 0042371945     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(01)00042-1     Document Type: Article
Times cited : (16)
References (11)
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  • 3
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    • Fama, E.F.1
  • 4
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    • In search of a risk premium: A six-currency test assuming mean variance optimization
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    • Frankel J.A. In search of a risk premium: a six-currency test assuming mean variance optimization. Journal of International Money and Finance. 1:1982;255-274. December.
    • (1982) Journal of International Money and Finance , vol.1 , pp. 255-274
    • Frankel, J.A.1
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    • Bootstrapping regression models
    • December
    • Freedman D. Bootstrapping regression models. Annals of Statistics. 9:1981;1218-1228. December.
    • (1981) Annals of Statistics , vol.9 , pp. 1218-1228
    • Freedman, D.1
  • 7
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    • International Money Market (IMM) Chicago Mercantile Exchange, Chicago
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  • 8
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    • On the efficiency of markets for foreign exchange
    • R. Dornbusch, & J.A. Frenkel. Baltimore, MD: Johns Hopkins Univ. Press
    • Levich R.M. On the efficiency of markets for foreign exchange. Dornbusch R., Frenkel J.A. International Economic Policy: Theory and Evidence. 1982;246-266 Johns Hopkins Univ. Press, Baltimore, MD.
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  • 9
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  • 10
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    • Approximations to some finite sample distributions associated with a first-order stochastic difference equation
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    • Phillips P.C.B. Approximations to some finite sample distributions associated with a first-order stochastic difference equation. Econometrica. 45:1977;463-486. March.
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  • 11
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    • The price variability-volume relationship on speculative markets
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    • Tauchen, G.E.1    Pitts, M.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.