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Single beta models and currency futures prices

McCurdy, Thomas H.; Morgan, Ieuan G. - 1991 - rev

Persistent link: https://www.econbiz.de/10000135919

Efficiency of the forward foreign exchange market : a stability analysis using Canadian/United States weekly and monthly data

Gregory, Allan - 1982

Persistent link: https://www.econbiz.de/10000324804

Intertemporal risk in foreign currency markets

McCurdy, Thomas H. - In: The exchange rate and the economy : [proceedings of a …, (pp. 325-355). 1993

Persistent link: https://www.econbiz.de/10001295874

Evidence of risk premiums in foreign currency futures markets

McCurdy, Thomas H. - In: The review of financial studies 5 (1992) 1, pp. 65-83

Persistent link: https://www.econbiz.de/10001119826

The unbiasedness hypothesis in the forward foreign exchange market : a specification analysis with application to France, Italy, Japan, the United Kingdom and West Germany

Gregory, Allan W. - In: European economic review : EER 30 (1986) 2, pp. 365-381

Persistent link: https://www.econbiz.de/10001020509

Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

McCurdy, Thomas H. - In: International journal of forecasting 3 (1987) 1, pp. 131-148

Persistent link: https://www.econbiz.de/10001034066

Testing the martingale hypothesis in Deutsche Mark futures with models specifying the form of heteroscedasticity

McCurdy, Thomas H. - In: Journal of applied econometrics 3 (1988) 3, pp. 187-202

Persistent link: https://www.econbiz.de/10001053503

Single beta models and currency futures prices

McCurdy, Thomas H. - In: The economic record : er (1992), pp. 117-129

Persistent link: https://www.econbiz.de/10001130518

Tests of the martingale hypothesis for foreign currency futures with time-varying volatility

McCurdy, Thomas H.; Morgan, Ieuan G. - 1986

Persistent link: https://www.econbiz.de/10003532268

Evidence of Risk Premiums in Foreign Currency Futures Markets

McCurdy, Thomas H. - 2011

Weekly data for foreign currency futures prices are examined for evidence of risk premiums. Covariance risks are measured with respect to the excess returns from benchmark portfolios for consumption and wealth. When the parameters representing the prices of the covariance risks are held...

Persistent link: https://www.econbiz.de/10013119766