Similar Search Results

Integration in the American foreign-exchange market, 1791 - 1931

Officer, Lawrence H. - In: Monetary standards and exchange rates, (pp. 211-228). 1997

Persistent link: https://www.econbiz.de/10001299842

Tests of real interest parity in international currency markets

Parikh, Ashok K. - In: Journal of economics 59 (1994) 2, pp. 167-191

Persistent link: https://www.econbiz.de/10001162184

The time variation of risk and return in foreign exchange markets : a general equilibrium perspective

Bekaert, Geert - In: The review of financial studies 9 (1996) 2, pp. 427-470

Persistent link: https://www.econbiz.de/10001202800

Risk Premia in Forward Foreign Exchange Markets : A Comparison of Signal Extraction and Regression Methods

Wang, Zhiguang - 2011

We investigate possible presence of time-varying risk premia in forward pound, yen,and Euro monthly exchange rates versus the US dollar 3 over the last two decades. We study this issue using regression techniques and separately using a signal plus noise model. Our models account for time-varying...

Persistent link: https://www.econbiz.de/10013122689

Risk Premia in Forward Foreign Exchange Markets : A Comparison of Signal Extraction and Regression Methods

Bidarkota, Prasad V. - 2004

We investigate time varying risk premia in forward dollar/pound monthly exchange rates over the last two decades. We study this issue using a signal plus noise model and separately using regression techniques. Our models account for time varying volatility and non-normalities in the observed...

Persistent link: https://www.econbiz.de/10014070007