The forward unbiasedness regression is revisited by varying the prediction horizons from 1 day to 1 year. The panel data suggests some possibility of a positive slope coefficient at a short horizon while the negative coefficient improves forecasting performance at longer horizons

Motivated by a consumption-based asset pricing model, this paper checks the time horizon sensitivity of the forward premium puzzle from 1994 to 2004. The in-sample estimation shows that the longer the time horizon (up to 1 year), the more the future spot exchange return deviates from its...

This paper examines the gains of using high-frequency data in detecting volatility spillovers, risk hedging, and asset allocation. In particular, a realized covariation method based on intra-day US and Japan index funds data is compared with a bi-variate GARCH method based on the same data...

Simple trend-following strategies have been documented as cost-effective, transparent alternatives to the hedge-fund style Managed Futures strategies. While largely capturing the returns of the Managed Futures industry, those simple strategies may periodically suffer significant losses due to...

At the aggregate level, the evidence that deviations from purchasing power parity (PPP) are too persistent to be explained solely by nominal rigidities has long been a puzzle (Rogoff, 1996). Another puzzle from the micro price evidence of the law of one price (LOP), which is the basic building...