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The empirical failure of the expectations hypothesis of the term structure of bond yields

Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - In: Journal of financial and quantitative analysis : JFQA 42 (2007) 1, pp. 81-100

Persistent link: https://www.econbiz.de/10003434577

Federal funds rate prediction

Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - In: Journal of money, credit and banking : JMCB 37 (2005) 3, pp. 449-471

Persistent link: https://www.econbiz.de/10003012690

Federal funds rate prediction

Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001971188

Federal funds rate prediction

Sarno, Lucio - 2004

Persistent link: https://www.econbiz.de/10013424490

The empirical failure of the expectations hypothesis of the term structure of bond yields

Sarno, Lucio - 2005

Persistent link: https://www.econbiz.de/10013424666

Out-of-sample predictions of bond excess returns and forward rates : an asset-allocation perspective

Thornton, Daniel L.; Valente, Giorgio - 2010

Persistent link: https://www.econbiz.de/10008668608

The role of asymmetries and regime shifts in the term structure of interest rates

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - In: The journal of business : B 79 (2006) 3, pp. 1193-1224

Persistent link: https://www.econbiz.de/10003336984

Empirical exchange rate models and currency risk : some evidence density forecasts

Sarno, Lucio; Valente, Giorgio - In: Journal of international money and finance 24 (2005) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10002636012

The out-of-sample success of term structure models as exchange rate predictors : a step beyond

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - In: Journal of international economics 60 (2003) 1, pp. 61-83

Persistent link: https://www.econbiz.de/10001754209

The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors : A Step Beyond

Clarida, Richard; Sarno, Lucio; Taylor, Mark P.; … - 2021

A large literature suggests that standard exchange rate models cannot outperform a random walk forecast and that the forward rate is not an optimal predictor of the spot rate. However, there is evidence that the term structure of forward premia contains valuable information for forecasting...

Persistent link: https://www.econbiz.de/10013220936