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Premia in forward foreign exchange as unobserved components

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Author Info

  • Nijman, T.E.

    (Tilburg University)

  • Palm, F.C.
  • Wolff, C.C.P.

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Bibliographic Info

Paper provided by Tilburg University in its series Open Access publications from Tilburg University with number urn:nbn:nl:ui:12-153275.

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Date of creation: 1993
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Publication status: Published in Journal of Business and Economic Statistics (1993) v.11, p.361-365
Handle: RePEc:ner:tilbur:urn:nbn:nl:ui:12-153275

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Web page: http://www.tilburguniversity.edu/

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References

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  1. Fama, Eugene F & Farber, Andre, 1979. "Money, Bonds, and Foreign Exchange," American Economic Review, American Economic Association, vol. 69(4), pages 639-49, September.
  2. 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.
  3. 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.
  4. 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.
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Cited by:
  1. Campbell-Pownall, R.A.J. & Koedijk, C.G. & Lothian, J.R. & Mahieu, R.J., 2007. "Irving Fisher and the UIP Puzzle: Meeting the Expectations a Century Later," Research Paper ERS-2007-088-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  2. 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.
  3. 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.
  4. 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.
  5. Nijman, T.E. & Palm, F.C., 1991. "Recent developments in modeling volatility in financial data," Discussion Paper 1991-68, Tilburg University, Center for Economic Research.
  6. 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.

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