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Using non-linear methods to search for risk premia in currency futures

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  • Hsieh, David A.
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    File URL: http://www.sciencedirect.com/science/article/B6V6D-45BC63H-7/2/1581e5a811695bbf310a34d9ac14c99a
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of International Economics.

    Volume (Year): 35 (1993)
    Issue (Month): 1-2 (August)
    Pages: 113-132

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    Handle: RePEc:eee:inecon:v:35:y:1993:i:1-2:p:113-132

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    Web page: http://www.elsevier.com/locate/inca/505552

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    Cited by:
    1. Inci, Ahmet Can & Lu, Biao, 2007. "Currency futures-spot basis and risk premium," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 17(2), pages 180-197, April.
    2. Inci, Ahmet Can, 2006. "Co-integrating currencies and yield differentials," Review of Financial Economics, Elsevier, vol. 15(2), pages 159-175.
    3. John Barkoulas & Christopher F. Baum, 1996. "Time-Varying Risk Premia in the Foreign Currency Futures Basis," Boston College Working Papers in Economics 281., Boston College Department of Economics.
    4. Ahmet Can √Ěnci, 2007. "Currency and yield Co-integration between a developed and an emerging Country: The Case of Turkey," Bogazici Journal of Economics and Administrative Sciences, Bogazici University, Department of Economics, vol. 21(1+2), pages 1-20.
    5. Inci, Ahmet Can, 2005. "ERM effects on currency spot and futures markets," Global Finance Journal, Elsevier, vol. 16(2), pages 145-163, December.

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