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Time-varying risk premia and the efficiency of the New Zealand foreign exchange market

Margaritis, Dimitris; Teo, Phay-hoon - 1991

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An examination of the forward prediction error of US dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium a...

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Predicting foreign investors' carry trade activity in the Israeli FX market using a time-varying currency risk premium approach

Mantzura, Ariel; Shraiber, Bentsi - In: International review of economics & finance : IREF 59 (2019), pp. 438-457

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Variance risk premiums and the forward premium puzzle

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Great expectations? : evidence from Colombia’s exchange rate survey

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, the presence of a time-varying risk premium and the accuracy of exchange rate forecasts. Our findings indicate that … the presence of a time-varying risk premium. Finally, we find that only short run expectations were able to outperform a …

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Trend shifts in the forward premium and the predictability of excess returns in currency markets

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Generating currency trading rules from the term structure of forward foreign exchange premia

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Survey data on exchange-rate expectations : more currencies, more horizons, more tests

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Forward exchange rate biasedness across developed and developing country currencies : do observed patterns persist out of sample?

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Can signal extraction help predict risk premia in foreign exchange rates

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