We develop exact distribution-free test procedures for joint inference about the forward rate unbiasedness hypothesis (FRUH) across multiple currencies. The procedures can be applied with either levels or differences specifications. This unified approach proceeds with sign and signed rank tests...

Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...

The pattern of information flows between Eurodollar spot and futures markets is examined using a robust two-step procedure. This procedure allows for conditional mean and variance dynamics as well as conditional heteroskedasticity. We find spot rates affect futures data and vice versa. In...

The paper presents examples of application of error correction models (ECM) in forecasting daily changes of market volatility recorded on currency options markets in Poland, Hungary and South Africa. The models are based on the observed correlation between daily changes of spot rates and daily...