Aggarwal, Raj; Lucey, Brian M.; Mohanty, Sunil K. - Institute for International Integration Studies (IIIS), … - 2006
An important puzzle in international finance is the failure of the forward exchange rate to be a rational forecast of the future spot rate. It has often been suggested that this puzzle may be resolved by using better statistical procedures that correct for both non-stationarity and nonnormality...