Search Results - person:"Ngama, Yerima Lawan"

Why does the spot-forward discount fail to predict changes in future spot rates?

Goodhart, Charles A. E. - In: International journal of finance & economics : IJFE 2 (1997) 2, pp. 121-129

Persistent link: https://www.econbiz.de/10001227652

A re-eximination of the forward exchange rate unbiasedness hypothesis

Ngama, Yerima Lawan - In: Weltwirtschaftliches Archiv : Zeitschrift des Instituts … 130 (1994) 3, pp. 447-460

Persistent link: https://www.econbiz.de/10001168278

Forward exchange rates and expectations during the 1920s : a re-eximination of the evidence

MacFarland, James W. - In: Journal of international money and finance 13 (1994) 6, pp. 627-636

Persistent link: https://www.econbiz.de/10001173888

Testing for the presence of time-varying risk premium using a mean-conditional-variance optimization model

Ngama, Yerima Lawan - In: Oxford bulletin of economics and statistics 56 (1994) 2, pp. 189-208

Persistent link: https://www.econbiz.de/10001161696

Testing for the Presence of Time-Varying Risk Premium Using a Mean-Condition-Variance Optimization Model

Ngama, Yerima Lawan - In: Oxford bulletin of economics and statistics 56 (1994) 2, pp. 189-208

Persistent link: https://www.econbiz.de/10006490850

Testing for the Presence of Time-Varying Risk Premium Using a Mean-Conditional-Variance Optimization Model.

Ngama, Yerima Lawan - In: Oxford Bulletin of Economics and Statistics 56 (1994) 2, pp. 189-208

This paper develops a version of the mean-variance optimization model that yields three equilibrium conditions: covered interest parity (CIP), forward rate unbiasedness (FU) and uncovered interest rate parity (UIP). The last two hold in the standard fashion only when agents are risk neutral. The...

Persistent link: https://www.econbiz.de/10005276686

Testing for unit roots with very high frequency spot exchange rate data

Goodhart, Charles A. E. - In: Journal of macroeconomics 15 (1993) 3, pp. 423-438

Persistent link: https://www.econbiz.de/10001147777

Testing the efficiency of thin forward foreign exchange markets : an application of instrumental variable multiple regression with integrated, I(1), variables

Ngama, Yerima Lawan - In: The Manchester School of Economic and Social Studies 60 (1992) 2, pp. 169-180

Persistent link: https://www.econbiz.de/10001123762

Does the forward premium discount help to predict the future change in the exchange rate?

Goodhart, Charles A. E. - In: Scottish journal of political economy : the journal of … 39 (1992) 2, pp. 129-140

Persistent link: https://www.econbiz.de/10001124318

Testing the Efficiency of Thin Forward Foreign Exchange Markets: An Application of Instrumental Variable Multiple Regression with Integrated, I(1), Variables.

Ngama, Yerima Lawan - In: The Manchester School of Economic & Social Studies 60 (1992) 2, pp. 169-80

This paper applies the recently developed asymptotic theory on instrumental variable estimation of multivariate cointegrating regression by Phillips and Hansen (1990) to test the efficiency of three thin forward markets, i.e., the markets for two-, six- and twelve-month forward foreign exchange....

Persistent link: https://www.econbiz.de/10005186194