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~institution:"Department of Economics, Boston College"
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Forward premium
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Gaussian semiparametric method
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cointegration
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currency risk premium
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foreign exchange
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foreign exchange market efficiency
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long memory
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market efficiency
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Barkoulas, John T.
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Baum, Christopher F.
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Chakraborty, Atreya
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Barkoulas, John
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Baum, Christopher
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Department of Economics, Boston College
National Bureau of Economic Research
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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EconWPA
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C.E.P.R. Discussion Papers
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Université Paris-Dauphine (Paris IX)
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Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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Erasmus Research Institute of Management (ERIM), Erasmus Universiteit Rotterdam
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International Monetary Fund (IMF)
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Sonderforschungsbereich Quantifikation und Simulation Ökonomischer Prozesse
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Institut für Finanzwissenschaft, Fakultät für Volkswirtschaft und Statistik
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School of Management, Yale University
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Department of Economics and Business, Universitat Pompeu Fabra
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Department of Economics, Iowa State University
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Institut für Finanzmarktforschung, Wirtschafts- und Sozialwissenschaftliche Fakultät
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NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management
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Charles A. Dice Center for Research in Financial Economics <Columbus, Ohio>
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Department of Economics and Finance, College of Business and Economics
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Dipartimento di Economia "Marco Biagi", Università degli Studi di Modena e Reggio Emilia
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1
Forward Premiums and
Market
Efficiency
: Panel Unit-root Evidence from the Term Structure of Forward Premiums
Baum, Christopher
;
Chakraborty, Atreya
;
Barkoulas, John T.
-
Department of Economics, Boston College
-
2000
evidence in support of stationary forward premiums, and therefore foreign exchange
market
efficiency
, for six major currencies. …
Persistent link: https://www.econbiz.de/10004968808
Saved in:
2
Persistent Dependence in Foreign Exchange Rates? A Reexamination
Barkoulas, John T.
;
Baum, Christopher F.
;
Caglayan, Mustafa
-
Department of Economics, Boston College
-
1998
exchange
market
efficiency
) for our broader sample of foreign currency rates. Any inference of long-range dependence is fragile …
Persistent link: https://www.econbiz.de/10005102699
Saved in:
3
A Re-examination of the Fragility of Evidence from Cointegration- Based Tests of Foreign Exchange
Market
Efficiency
Barkoulas, John
;
Baum, Christopher F.
-
Department of Economics, Boston College
-
1996
We re-examine Sephton and Larsen's (1991) conclusion that cointegration-based tests for
market
efficiency
suffer from …
Persistent link: https://www.econbiz.de/10004968805
Saved in:
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