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The forward premium anomaly is not as bad as you think
Baillie, Richard T.; Bollerslev, Tim - In: Journal of International Money and Finance 19 (2000) 4, pp. 471-488
Persistent link: https://www.econbiz.de/10005311620
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A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets
Baillie, Richard T.; Bollerslev, Tim - In: Journal of International Money and Finance 9 (1990) 3, pp. 309-324
Persistent link: https://www.econbiz.de/10005339458
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Bear squeezes, volatility spillovers and speculative attacks in the hyperinflation 1920s foreign exchange
Baillie, Richard T.; Bollerslev, Tim; Redfearn, Michael R. - In: Journal of International Money and Finance 12 (1993) 5, pp. 511-521
Persistent link: https://www.econbiz.de/10005188584
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The long memory of the forward premium
Baillie, Richard T; Bollerslev, Tim - In: Journal of International Money and Finance 13 (1994) 5, pp. 565-571
Persistent link: https://www.econbiz.de/10005402714