Testing forward rate unbiasedness allowing for persistent regressors
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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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Web page: http://www.elsevier.com/locate/jempfin
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Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.Cited by:
- Philippe Bacchetta & Eric van Wincoop, 2005.
"Rational Inattention: A Solution to the Forward Discount Puzzle,"
NBER Working Papers
11633, National Bureau of Economic Research, Inc.
- Philippe Bacchetta & Eric van Wincoop, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," FAME Research Paper Series rp156, International Center for Financial Asset Management and Engineering.
- 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.
- Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006.
"Predictability in Financial Markets: What Do Survey Expectations Tell Us?,"
Working Papers
102006, Hong Kong Institute for Monetary Research.
- Bacchetta, Philippe & Mertens, Elmar & van Wincoop, Eric, 2009. "Predictability in financial markets: What do survey expectations tell us?," Journal of International Money and Finance, Elsevier, vol. 28(3), pages 406-426, April.
- 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.
- Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers 06.04, Swiss National Bank, Study Center Gerzensee.
- Nagayasu, Jun, 2012. "Long-Run Implications of the Covered Interest Rate Parity Condition: Evidence during the Recent Crisis and Non-Crisis Periods," MPRA Paper 41566, University Library of Munich, Germany.
- 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.
- Kellard, Neil & Sarantis, Nicholas, 2008. "Can exchange rate volatility explain persistence in the forward premium?," Journal of Empirical Finance, Elsevier, vol. 15(4), pages 714-728, September.
- Leo Krippner, 2006. "A Yield Curve Perspective on Uncovered Interest Parity," Working Papers in Economics 06/16, University of Waikato, Department of Economics.
- Liu, Fang & Sercu, Piet, 2009. "The forex forward puzzle: The career risk hypothesis," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/217883, Katholieke Universiteit Leuven.
- Philippe Bacchetta & Eric van Wincoop, 2006.
"Incomplete information processing: a solution to the forward discount puzzle,"
Proceedings,
Federal Reserve Bank of San Francisco, issue Jun.
- Philippe Bacchetta & Eric van Wincoop, 2005. "Incomplete Information Processing: A Solution to the Forward Discount Puzzle," Working Papers 05.03, Swiss National Bank, Study Center Gerzensee.
- 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.
- Hanno Lustig & Adrien Verdelhan, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 361-384 National Bureau of Economic Research, Inc.
- Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
- 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.
- Sakoulis, Georgios & Zivot, Eric & Choi, Kyongwook, 2010. "Structural change in the forward discount: Implications for the forward rate unbiasedness hypothesis," Journal of Empirical Finance, Elsevier, vol. 17(5), pages 957-966, December.
- Nagayasu, Jun, 2011. "The threshold nonstationary panel data approach to forward premiums," MPRA Paper 34265, University Library of Munich, Germany.
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