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Can signal extraction help predict risk premia in foreign exchange rates
Kiani, Khurshid M. - In: Economic modelling 33 (2013), pp. 926-939
Persistent link: https://www.econbiz.de/10010195543
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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...
Simpson, Marc W.; Grossmann, Axel - In: The North American journal of economics and finance : a … 28 (2014), pp. 221-238
Persistent link: https://www.econbiz.de/10010461953
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Time-varying risk premia and the efficiency of the New Zealand foreign exchange market
Margaritis, Dimitris; Teo, Phay-hoon - 1991
Persistent link: https://www.econbiz.de/10000914878
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Predicting exchange rate returns
Narayan, Paresh Kumar; Sharma, Susan Sunila; Dinh Hoang … - In: Emerging markets review 42 (2020), pp. 1-16
Persistent link: https://www.econbiz.de/10012414387
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Trend shifts in the forward premium and the predictability of excess returns in currency markets
Cho, Dooyeon; Chun, Sungju - In: Applied economics 49 (2017) 18, pp. 1821-1832
Persistent link: https://www.econbiz.de/10011815429
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Do foreign exchange return regressions convey useful information on return predictability?
Moon, Seongman; Velasco, Carlos - In: Revista de economía aplicada : REA 25 (2017) 73, pp. 5-19
Persistent link: https://www.econbiz.de/10012261655
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Forward exchange rate biasedness across developed and developing country currencies : do observed patterns persist out of sample?
Loring, Grace; Lucey, Brian M. - 2012
Persistent link: https://www.econbiz.de/10009666046
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Generating currency trading rules from the term structure of forward foreign exchange premia
Sager, Michael; Taylor, Mark P. - In: Journal of international money and finance 44 (2014), pp. 230-250
Persistent link: https://www.econbiz.de/10010391056
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Survey data on exchange-rate expectations : more currencies, more horizons, more tests
Chinn, Menzie David; Frankel, Jeffrey A. - In: Monetary policy, capital flows and exchange rates : …, (pp. 145-167). 2002
Persistent link: https://www.econbiz.de/10001751740
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Variance Risk Premiums and the Forward Premium Puzzle
Londono, Juan M. - 2013
This paper presents evidence that the foreign exchange appreciation is predictable by the currency variance risk premium at a medium 6-month horizon and by the stock variance risk premium at a short 1-month horizon. Although currency variance risk premiums are highly correlated with each other...
Persistent link: https://www.econbiz.de/10013087550