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The bias of tests for a risk premium in forward exchange rates

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Author Info
Tauchen, George
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File URL: http://www.sciencedirect.com/science/article/B6VFG-44M1P55-7/2/503170348be73ceb348c6549b903111b
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Article provided by Elsevier in its journal Journal of Empirical Finance.

Volume (Year): 8 (2001)
Issue (Month): 5 (December)
Pages: 695-704
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Handle: RePEc:eee:empfin:v:8:y:2001:i:5:p:695-704

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  1. Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  2. 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. [Downloadable!]
  3. Todd E. Clark & Kenneth D. West, 2004. "Using out-of-sample mean squared prediction errors to test the Martingale difference hypothesis," Research Working Paper RWP 04-03, Federal Reserve Bank of Kansas City. [Downloadable!]
    Other versions:
  4. Todd E. Clark & Kenneth D. West, 2005. "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference," NBER Technical Working Papers 0305, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  5. Juan A. Lafuente & Jesús Ruiz, 2002. "The Bias For Forward Exchange Rate And The Risk Premium: An Explanation With A Stochastic And Dynamic General Equilibrium Model," Working Papers. Serie EC 2002-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie). [Downloadable!]
  6. Raj Aggarwal & Brian M. Lucey & Sunil K. Mohanty, 2006. "The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests," The Institute for International Integration Studies Discussion Paper Series iiisdp123, IIIS. [Downloadable!]
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