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An investigation of risk and return in forward foreign exchange
Hodrick, Robert J.; Srivastva, Sanjay - 1983
Persistent link: https://www.econbiz.de/10002865723
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The equilibrium risk premium on the forward market for foreign currency
Broll, Udo; Eckwert, Bernhard - 1996
This paper constructs an intertemporal model of the spot and forward markets for foreign exchange and shows that in equilibrium the forward market is unbiased, i.e., the forward rate is equal to the expected spot rate which will prevail in the market next period. This holds true as long as the...
Persistent link: https://www.econbiz.de/10009620811
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Currency futures' risk premia and risk factors
Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2020
represent a fair compensation for currency risk, we find that non-durable consumption risk and market risk can explain excess …
Persistent link: https://www.econbiz.de/10012209529
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Non-stationary exchange rates and the efficiency of the foreign exchange market
Adjaoute, Kpate - 1995
Persistent link: https://www.econbiz.de/10000934123
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Pricing term structure risk in futures markets
Nijman, Theodore E.; Roon, Frans de; Veld, Chris H. - 1996
Persistent link: https://www.econbiz.de/10000944055
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Trends in expected returns in currency and bond markets
Evans, Martin D. D.; Lewis, Karen K. - 1992
Persistent link: https://www.econbiz.de/10000845241
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On testing the hypothesis that premium in US$/$A forward exchange rate is constant : a signal extraction approach
Cheung, Kui-yin - 1992
Persistent link: https://www.econbiz.de/10000845647
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Efficiency and the risk premium in the forward exchange market
Merino, Socorro Angela - 1997
Persistent link: https://www.econbiz.de/10000982733
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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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Testing speculative efficiency : pitfalls, puzzles and parametrics
Lim, Guay C.; Martin, Vance - 1995
Persistent link: https://www.econbiz.de/10000920105