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Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models

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  • Wolff, Christian C. P.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Financial Markets, Institutions and Money.

Volume (Year): 10 (2000)
Issue (Month): 1 (January)
Pages: 1-8

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Handle: RePEc:eee:intfin:v:10:y:2000:i:1:p:1-8

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

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References

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  1. Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1991. "Premia in Forward Foreign Exchange as Unobserved Components," Papers 9112, Tilburg - Center for Economic Research.
  2. Ansley, Craig F. & Spivey, W. Allen & Wrobleski, William J., 1977. "On the structure of moving average processes," Journal of Econometrics, Elsevier, vol. 6(1), pages 121-134, July.
  3. Lewis, Karen K., 1995. "Puzzles in international financial markets," Handbook of International Economics, in: G. M. Grossman & K. Rogoff (ed.), Handbook of International Economics, edition 1, volume 3, chapter 37, pages 1913-1971 Elsevier.
  4. Engel, Charles, 1996. "The forward discount anomaly and the risk premium: A survey of recent evidence," Journal of Empirical Finance, Elsevier, vol. 3(2), pages 123-192, June.
  5. Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc.
  6. Wolff, Christian C P, 1987. " Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach," Journal of Finance, American Finance Association, vol. 42(2), pages 395-406, June.
  7. Nijman, Theo E & Palm, Franz C & Wolff, Christian C P, 1993. "Premia in Forward Foreign Exchange as Unobserved Components: A Note," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 361-65, July.
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Cited by:
  1. Sarantis, Nicholas, 2006. "Testing the uncovered interest parity using traded volatility, a time-varying risk premium and heterogeneous expectations," Journal of International Money and Finance, Elsevier, vol. 25(7), pages 1168-1186, November.
  2. Ram Bhar & Carl Chiarella & Toan Pham, 2000. "Modeling the Currency Forward Risk Premium: Theory and Evidence," Research Paper Series 41, Quantitative Finance Research Centre, University of Technology, Sydney.
  3. Bams, Dennis & Walkowiak, Kim & Wolff, Christian C, 2003. "More Evidence on the Dollar Risk Premium in the Foreign Exchange Market," CEPR Discussion Papers 3726, C.E.P.R. Discussion Papers.
  4. Kumar, Satish & Trück, Stefan, 2014. "Unbiasedness and risk premiums in the Indian currency futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 13-32.

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