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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

Forward foreign exchange rates and expected future spot rates

Wolff, Christiaan Cornelis Petrus - In: Applied financial economics 10 (2000) 4, pp. 371-377

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The forward premium anomaly in the energy futures markets : a time-varying approach

Charfeddine, Lanouar; Ben Khediri, Karim; Mrabet, Zouhair - In: Research in international business and finance 47 (2019), pp. 600-615

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The Forward Premium Puzzle in a Model of Imperfect Information : Theory and Evidence

Albuquerque, Rui A. - 2014

This paper studies the forward premium puzzle in a model with imperfect information. The model predicts fixed effects and conditional heteroskedasticity in the forward premium regression and provides a rationale for the evidence in Mayfield and Murphy (1992)

Persistent link: https://www.econbiz.de/10014219026