A new test for market efficiency and uncovered interest parity
Year of publication: |
2023
|
---|---|
Authors: | Baillie, Richard ; Diebold, Francis X. ; Kapetanios, George ; Kim, Kun Ho |
Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 130.2023, p. 1-14
|
Subject: | Dynamic regressions | Forward premium anomaly | Robust standard errors | Uncovered interest parity | Zinsparität | Interest rate parity | Effizienzmarkthypothese | Efficient market hypothesis | Risikoprämie | Risk premium | Währungsderivat | Currency derivative | Schätzung | Estimation | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Großbritannien | United Kingdom |
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