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Common stochastic trends between forward and spot exchange rates

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Author Info
Luintel, K. B.
Paudyal, K.

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Abstract

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File URL: http://www.sciencedirect.com/science/article/B6V9S-3V5WNKF-H/2/0c75d70c7ab5ec8eafb5152b9d87e561
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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 17 (1998)
Issue (Month): 2 (April)
Pages: 279-297
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Handle: RePEc:eee:jimfin:v:17:y:1998:i:2:p:279-297

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Web page: http://www.elsevier.com/locate/inca/30443

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  1. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics 9812001, EconWPA. [Downloadable!]
  2. Richard Clarida & Lucio Sarno & Mark Taylor & Giorgio Valente, 2001. "The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond," NBER Working Papers 8601, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Natalya Delcoure & John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "The Forward Rate Unbiasedness Hypothesis Revisited: Evidence from a New Test," Boston College Working Papers in Economics 464, Boston College Department of Economics. [Downloadable!]
  4. John T. Barkoulas & Christopher F. Baum & Atreya Chakraborty, 2000. "Forward Premiums and Market Efficiency: Panel Unit-root Evidence from the Term Structure of Forward Premiums," Boston College Working Papers in Economics 461, Boston College Department of Economics, revised 13 Jun 2001. [Downloadable!]
    Other versions:
  5. Nelson Mark & Young-Kyu Moh, 2003. "Official Interventions and Occasional Violations of Uncovered Interest Party in the Dollar-DM Market," NBER Working Papers 9948, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  6. Haitham A. Al-Zoubi & Dana A. Al-Zoubi & Aktham I. Maghyereh, 2006. "A nonparametric cointegration analysis of the forward rate unbiasedness hypothesis," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(4), pages 223-227, July. [Downloadable!] (restricted)
  7. David G. McMillan, 2005. "Cointegrating behaviour between spot and forward exchange rates," Applied Financial Economics, Taylor and Francis Journals, vol. 15(16), pages 1135-1144, November. [Downloadable!] (restricted)
  8. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group. [Downloadable!]
  9. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank, Research Centre. [Downloadable!]
  10. Young-Kyu Moh, 2006. "Continuous-time model of uncovered interest parity with regulated jump-diffusion interest differential," Applied Economics, Taylor and Francis Journals, vol. 38(21), pages 2523-2533, December. [Downloadable!] (restricted)
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