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The predictive performance of the currency futures basis for spot returns

Han, Liyan; Jiang, Xue; Yin, Libo - In: Quantitative finance 19 (2019) 3, pp. 391-405

Persistent link: https://www.econbiz.de/10012194660

Variance risk premiums and the forward premium puzzle

Londono, Juan M.; Zhou, Hao - In: Journal of financial economics 124 (2017) 2, pp. 415-440

Persistent link: https://www.econbiz.de/10011751455

Do foreign exchange return regressions convey useful information on return predictability?

Moon, Seongman; Velasco, Carlos - In: Revista de economía aplicada : REA 25 (2017) 73, pp. 5-19

Persistent link: https://www.econbiz.de/10012261655

Does the Prediction Horizon Matter for the Forward Premium Anomaly? Evidence from Panel Data

Yang, Kun; Shintani, Mototsugu - 2010

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

Persistent link: https://www.econbiz.de/10014225568