Econometric analysis of present value models when the discount factor is near one

Journal of Econometrics

Volumn 171, Issue 1, 2012, Pages 86-97

  West, Kenneth D ^a  

^a University of Wisconsin   (United States)

Author keywords

Asset price; Efficient markets; Exchange rate; Expected return; Forward premium anomaly; Forward rate; Martingale model; Random walk; Uncovered interest parity

Indexed keywords

ASSET PRICES; EFFICIENT MARKETS; EXCHANGE RATES; EXPECTED RETURN; FORWARD PREMIUM ANOMALY; FORWARD RATE; RANDOM WALK; UNCOVERED INTEREST PARITY;

ASYMPTOTIC ANALYSIS; FINANCE; RANDOM PROCESSES; SAMPLING;

FACTOR ANALYSIS;

EID: 84865725155     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2012.07.002     Document Type: Article

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