Testing forward rate unbiasedness allowing for persistent regressors

Journal of Empirical Finance

Volumn 12, Issue 5, 2005, Pages 613-628

  Liu, Wei ^a   Maynard, Alex ^a,b  

^a UNIVERSITY OF TORONTO   (Canada)

^b NONE   (Canada)

Author keywords

Forward premium; Local to unity; Near unit root; Predictability; Uncovered Interest Parity

Indexed keywords

EID: 27744492503     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2004.05.003     Document Type: Article

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