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Investigating the correlation of unobserved expectations : Expected returns in equity and foreign exchange markets and other examples

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  • Cumby, Robert E.
  • Huizinga, John

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File URL: http://www.sciencedirect.com/science/article/B6VBW-45KNKH8-4/2/5f506e202116f434b6bc875a88129a1c
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Bibliographic Info

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

Volume (Year): 30 (1992)
Issue (Month): 2 (November)
Pages: 217-253

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Handle: RePEc:eee:moneco:v:30:y:1992:i:2:p:217-253

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Web page: http://www.elsevier.com/locate/inca/505566

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Cited by:
  1. Martin Evans, 2000. "FX trading and Exchange Rate Dynamics," Working Papers gueconwpa~00-00-04, Georgetown University, Department of Economics.
  2. Marston, Richard C., 1997. "Tests of three parity conditions: Distinguishing risk premia and systematic forecast errors," Journal of International Money and Finance, Elsevier, vol. 16(2), pages 285-303, April.
  3. Nucci, Francesco, 2003. "Cross-currency, cross-maturity forward exchange premiums as predictors of spot rate changes: Theory and evidence," Journal of Banking & Finance, Elsevier, vol. 27(2), pages 183-200, February.
  4. Richard C. Marston, 1994. "Tests of Three Parity Conditions: Distinguishing Risk Premia and Systematic Forecast Errors," NBER Working Papers 4923, National Bureau of Economic Research, Inc.
  5. Charles Engel, 1996. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.

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