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The impossibility of meaningful efficient market parameters in testing for the spot-forward relationship in foreign exchange markets

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  • Wang, Peijie
  • Jones, Trefor

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File URL: http://www.sciencedirect.com/science/article/B6V84-48Y0B8R-4/2/ffc774c2cc9550970701302c8e5e70cb
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Bibliographic Info

Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 81 (2003)
Issue (Month): 1 (October)
Pages: 81-87

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Handle: RePEc:eee:ecolet:v:81:y:2003:i:1:p:81-87

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Web page: http://www.elsevier.com/locate/ecolet

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  1. Diebold, Francis X. & Nason, James A., 1990. "Nonparametric exchange rate prediction?," Journal of International Economics, Elsevier, vol. 28(3-4), pages 315-332, May.
  2. Huisman, Ronald & Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Extreme support for uncovered interest parity," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 211-228, February.
  3. Mark P. Taylor, 1995. "The Economics of Exchange Rates," Journal of Economic Literature, American Economic Association, vol. 33(1), pages 13-47, March.
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Cited by:
  1. Peter G. Szilagyi & Jonathan A. Batten, 2006. "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series iiisdp128, IIIS.
  2. Christian, Mueller-Kademann, 2009. "Puzzle solver," MPRA Paper 19852, University Library of Munich, Germany.
  3. Al-Khazali, Osamah M. & Pyun, Chong Soo & Kim, Daewon, 2012. "Are exchange rate movements predictable in Asia-Pacific markets? Evidence of random walk and martingale difference processes," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 221-231.
  4. Christian, Müller, 2011. "The forward-bias puzzle: Still unsolved," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 21(4), pages 605-610, October.

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