Do asymmetric and nonlinear adjustments explain the forward premium anomaly?

Journal of International Money and Finance

Volumn 25, Issue 1, 2006, Pages 22-47

  Baillie, Richard T ^a,b   Kiliç, Rehim ^c  

^a MICHIGAN STATE UNIVERSITY   (United States)

^b QUEEN MARY UNIVERSITY OF LONDON   (United Kingdom)

^c GEORGIA INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Forward premium anomaly; LSTR models; Nonlinearity; Uncovered Interest Parity

Indexed keywords

EID: 30944443096     PISSN: 02615606     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jimonfin.2005.10.002     Document Type: Article

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