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A new test for market efficiency and uncovered interest parity
Baillie, Richard; Diebold, Francis X.; Kapetanios, George; … - 2022 - This draft: November 3, 2022
Persistent link: https://www.econbiz.de/10013502181
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Time variation in the standard forward premium regression : some new models and tests
Baillie, Richard; Cho, Dooyeon - In: Journal of empirical finance 29 (2014), pp. 52-63
Persistent link: https://www.econbiz.de/10011300505
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Testing speculative efficiency : pitfalls, puzzles and parametrics
Lim, Guay C.; Martin, Vance - 1995
Persistent link: https://www.econbiz.de/10000920105
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Capital controls and the political discount : the Spanish experience in the late 1980s
Bacchetta, Philippe - In: Open economies review 7 (1996) 4, pp. 349-369
Persistent link: https://www.econbiz.de/10001211939
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Uncovered interest rate parity redux : non-uniform effects
Cheung, Yin-Wong; Wang, Wenhao - In: Journal of empirical finance 67 (2022), pp. 133-151
Persistent link: https://www.econbiz.de/10013464380
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Structural analysis of vector error correction models with exogenous I(1) variables
Pesaran, M. Hashem; Shin, Yongcheol; Smith, Richard J. - 1997
Persistent link: https://www.econbiz.de/10000629002
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Testing the persistence of the forward premium : structural changes or misspecification?
Ho, Tsung-wu; Moh, Wan Shin - In: Open economies review 27 (2016) 1, pp. 119-138
Persistent link: https://www.econbiz.de/10011591715
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Covered interest parity : a stochastic volatility approach to estimate the neutral band
Hernández, Juan Ramón - 2020
The neutral band is the interval where deviations from Covered Interest Parity (CIP) are not considered meaningful arbitrage opportunities. The band is determined by transaction costs and risk associated to arbitrage. Seemingly large deviations from CIP in the foreign exchange markets for the US...
Persistent link: https://www.econbiz.de/10012195198
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Several econometric tests of exchange rate efficiency for a few European countries
Agacer, Gilda M.; Arize, Augustine Chuck; Kallianiotis, … - In: International journal of financial research 6 (2015) 4, pp. 194-206
Persistent link: https://www.econbiz.de/10011405493