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Stochastic prices and tests of efficiency of foreign exchange markets

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Author Info
Frenkel, Jacob A.
Razin, Assaf

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V84-4590WXV-WV/2/cdd6f1f5c58166c6442017e39da975f7
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Publisher Info
Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 6 (1980)
Issue (Month): 2 ()
Pages: 165-170
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Handle: RePEc:eee:ecolet:v:6:y:1980:i:2:p:165-170

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  1. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. Lars Hörngren & Anders Vredin, 1989. "Exchange risk premia in a currency basket system," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(2), pages 311-325, June. [Downloadable!] (restricted)
  3. Jeffrey A. Frankel & Charles Engel, 1985. "Do Asset-Demand Functions Optimize over the Mean and Variance of Real Returns? A Six-Currency Test," NBER Working Papers 1051, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Joshua Aizenman & Jacob A. Frenkel, 1985. "Optimal Wage Indexation, Foreign-Exchange Intervention and Monetary Policy," NBER Working Papers 1329, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  5. W A Razzak, 1998. "The forward rate unbiasedness hypothesis in inflation-targeting regimes," Reserve Bank of New Zealand Discussion Paper Series G99/3, Reserve Bank of New Zealand, revised Aug 1999. [Downloadable!]
  6. Robert J. Hodrick & Sanjay Srivastava, 1986. "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates," NBER Working Papers 1749, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  7. Bernard Dumas, 1993. "Partial- Vs. General-Equilibrium Models of the International Capital Market," NBER Working Papers 4446, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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