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Testing forward rate unbiasedness allowing for persistent regressors

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Author Info
Liu, Wei
Maynard, Alex

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File URL: http://www.sciencedirect.com/science/article/B6VFG-4H4T31S-1/2/166e0b208edfbf9be7c60612e404d987
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 12 (2005)
Issue (Month): 5 (December)
Pages: 613-628
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Handle: RePEc:eee:empfin:v:12:y:2005:i:5:p:613-628

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

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  1. Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," CEPR Discussion Papers 5770, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
  2. Aaron Smallwood; Alex Maynard; Mark Wohar, 2005. "The Long and the Short of It: Long Memory Regressors and Predictive Regressions," Computing in Economics and Finance 2005 384, Society for Computational Economics. [Downloadable!]
  3. Philippe Bacchetta & Eric van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Working Paper Series 2006-35, Federal Reserve Bank of San Francisco. [Downloadable!]
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  4. Christophe Chamley, 2006. "Complementarities in information acquisition with short-term trades," Boston University - Department of Economics - Working Papers Series WP2006-042, Boston University - Department of Economics. [Downloadable!]
  5. Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato, Department of Economics. [Downloadable!]
  6. Bacchetta, Philippe & van Wincoop, Eric, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," CEPR Discussion Papers 5261, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Other versions:
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