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The efficiency of the forward exchange market : a conditional nonparametric test of forecasting ability

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Henriksson, Roy.
Lessard, Donald R.
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Paper provided by Massachusetts Institute of Technology (MIT), Sloan School of Management in its series Working papers with number 1337-82..

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Date of creation: 1982
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Handle: RePEc:mit:sloanp:2020

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Keywords: HD28 .M414 no.1337-; 82;

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  1. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September. [Downloadable!] (restricted)
  2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September. [Downloadable!] (restricted)
  3. R. Dornbusch, 1979. "Monetary Policy Under Exchange Rate Flexibility," Working papers 228, Massachusetts Institute of Technology (MIT), Department of Economics.
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  4. Fama, Eugene F & Farber, Andre, 1979. "Money, Bonds, and Foreign Exchange," American Economic Review, American Economic Association, vol. 69(4), pages 639-49, September. [Downloadable!] (restricted)
  5. Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-53, October. [Downloadable!] (restricted)
  6. Merton, Robert C, 1981. "On Market Timing and Investment Performance. I. An Equilibrium Theory of Value for Market Forecasts," Journal of Business, University of Chicago Press, vol. 54(3), pages 363-406, July. [Downloadable!] (restricted)
  7. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October. [Downloadable!] (restricted)
  8. Grauer, Frederick L. A. & Litzenberger, Robert H. & Stehle, Richard E., 1976. "Sharing rules and equilibrium in an international capital market under uncertainty," Journal of Financial Economics, Elsevier, vol. 3(3), pages 233-256, June. [Downloadable!] (restricted)
  9. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December. [Downloadable!] (restricted)
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  10. Stulz, ReneM., 1982. "The forward exchange rate and macroeconomics," Journal of International Economics, Elsevier, vol. 12(3-4), pages 285-299, May. [Downloadable!] (restricted)
  11. Westerfield, Janice Moulton, 1977. "An examination of foreign exchange risk under fixed and floating rate regimes," Journal of International Economics, Elsevier, vol. 7(2), pages 181-200, May. [Downloadable!] (restricted)
  12. McFarland, James W & Pettit, R Richardson & Sung, Sam K, 1982. " The Distribution of Foreign Exchange Price Changes: Trading Day Effects and Risk Measurement," Journal of Finance, American Finance Association, vol. 37(3), pages 693-715, June. [Downloadable!] (restricted)
  13. Bilson, John F O, 1981. "The "Speculative Efficiency" Hypothesis," Journal of Business, University of Chicago Press, vol. 54(3), pages 435-51, July. [Downloadable!] (restricted)
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  14. Frankel, Jeffrey A., 1979. "The diversifiability of exchange risk," Journal of International Economics, Elsevier, vol. 9(3), pages 379-393, August. [Downloadable!] (restricted)
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