Bacchetta, Philippe; Mertens, Elmar; van Wincoop, Eric - In: Journal of International Money and Finance 28 (2009) 3, pp. 406-426
There is widespread evidence of excess return predictability in financial markets. For the foreign exchange market a number of studies have documented that the predictability of excess returns is closely related to the predictability of expectational errors of excess returns. In this paper we...
