This paper provides a comprehensive evaluation of the short-horizon predictive ability of economic fundamentals and forward premiums on monthly exchange-rate returns in a framework that allows for volatility timing. We implement Bayesian methods for estimation and ranking of a set of empirical...

This paper reexamines the validity of the expectation hypothesis (EH) of the term structure of US repo rates ranging in maturity from overnight to 3 months. We extend the work of Longstaff [2000b. The term Structure of very short term rates: new evidence for the expectations hypothesis. journal...

The aim of this thesis is to deepen our understanding of new empirical methods, results and implications in interest rate and foreign exchange markets. To this end, this thesis is organised in three chapters. The first chapter tests the validity of the Expectation Hypothesis (EH) of the term...