Similar Search Results

Testing the unbiased forward rate hypothesis : evidence on unit roots, co-integration, and stochastic coefficients

Barnhart, Scott W. - In: Journal of financial and quantitative analysis : JFQA 26 (1991) 2, pp. 245-267

Persistent link: https://www.econbiz.de/10001106732

Some answer to puzzles in testing unbiasedness in the foreign exchange market

Barnhart, Scott W.; McNown, Robert F.; Wallace, Myles Stuart - In: Applied financial economics 12 (2002) 10, pp. 687-696

Persistent link: https://www.econbiz.de/10001702505

Non-informative tests of the unbiased forward exchange rate

Barnhart, Scott W.; McNown, Robert F.; Wallace, Myles Stuart - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 2, pp. 265-291

Persistent link: https://www.econbiz.de/10001436322

Testing the Unbiased Forward Rate Hypothesis : Evidence on Unit Roots, Co-Integration and Stochastic Coefficients

Barnhart, Scott W. - 2009

In this paper, we demonstrate that the conflicting results found in the literature of tests of the unbiased forward rate hypothesis (UFRH) depend upon the econometric specification used as well as differences in the time period of estimation. It is established that the time series properties of...

Persistent link: https://www.econbiz.de/10013155903