Estimators of regression coefficients are known to be asymptotically normally distributed, provided certain regularity conditions are satisfied. In small samples and if the noise is not normally distributed, this can be a poor guide to the quality of the estimators. The paper addresses this...

The forward premium puzzle (FPP) is the negative correlation between the forward premium and the realized exchange rate return at maturities of a month and beyond. Some recent evidence shows that at maturities of multiple years and at the highest intra day frequency the correlation is positive...