Premia in forward foreign exchange as unobserved components
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Bibliographic InfoPaper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-153275.
Date of creation: 1993
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Publication status: Published in Journal of Business and Economic Statistics (1993) v.11, p.361-365
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Other versions of this item:
- 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.
- Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1991. "Premia in forward foreign exchange as unobserved components," Discussion Paper 1991-12, Tilburg University, Center for Economic Research.
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Domowitz, Ian & Hakkio, Craig S., 1985. "Conditional variance and the risk premium in the foreign exchange market," Journal of International Economics, Elsevier, vol. 19(1-2), pages 47-66, August.
- André Farber & Eugene Fama, 1979.
"Money, bonds and foreign exchange,"
ULB Institutional Repository
2013/11356, ULB -- Universite Libre de Bruxelles.
- Baillie, Richard T. & Bollerslev, Tim, 1990. "A multivariate generalized ARCH approach to modeling risk premia in forward foreign exchange rate markets," Journal of International Money and Finance, Elsevier, vol. 9(3), pages 309-324, September.
- Camiel de Koning & Stefan Straetmans, 1997. "Variation in the Slope Coefficient of the Fama Regression for Testing Uncovered Interest Rate Parity: Evidence from Fixed and Time-varying Coefficient Approaches," Tinbergen Institute Discussion Papers 97-014/2, Tinbergen Institute.
- Campbell, Rachel & Koedijk, Kees & Lothian, James R & Mahieu, Ronald J, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
- Bams, Dennis & Walkowiak, Kim & Wolff, Christian C. P., 2004.
"More evidence on the dollar risk premium in the foreign exchange market,"
Journal of International Money and Finance,
Elsevier, vol. 23(2), pages 271-282, March.
- 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.
- Nijman, T.E. & Palm, F.C., 1991.
"Recent developments in modeling volatility in financial data,"
1991-68, Tilburg University, Center for Economic Research.
- Nijman, T.E. & Palm, F.C., 1991. "Recent Developments in Modeling Volatility in Financial Data," Papers 9168, Tilburg - Center for Economic Research.
- Wolff, Christian C. P., 2000. "Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 1-8, January.
- Nath, Golaka, 2013. "The Spot Forward Exchange Rate Relation in Indian Foreign Exchange Market - An Analysis," MPRA Paper 51591, University Library of Munich, Germany.
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