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Citations for "The "Speculative Efficiency" Hypothesis"

by John F. O. Bilson

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  1. Martin, Anna D. & Mauer, Laurence J., 2003. "Transaction versus economic exposure: which has greater cash flow consequences?," International Review of Economics & Finance, Elsevier, Elsevier, vol. 12(4), pages 437-449.
  2. Malini, Nair, 2005. "Arbitrage, cointegration and testing the unbiasedness hypothesis in coffee futures traded at the CSCE," MPRA Paper 37530, University Library of Munich, Germany.
  3. Edwards, Sebastian, 1983. "Floating exchange rates, expectations and new information," Journal of Monetary Economics, Elsevier, Elsevier, vol. 11(3), pages 321-336.
  4. Dimitris Kenourgios, 2005. "Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market," Finance, EconWPA 0512015, EconWPA.
  5. Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc.
  6. Bilson, John F.O. & Cernauskas, Deborah, 2007. "Currency and credit markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 26(7), pages 1187-1205, November.
  7. Shang-Jin Wei & Jeffrey A. Frankel, 1991. "Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?," NBER Working Papers 3910, National Bureau of Economic Research, Inc.
  8. Huisman, R. & Mahieu, R.J., 2007. "Revisiting Uncovered Interest Rate Parity: Switching Between UIP and the Random Walk," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasm ERS-2007-001-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 University Rotterdam.
  9. W A Razzak, 1998. "The forward rate unbiasedness hypothesis in inflation-targeting regimes," Reserve Bank of New Zealand Discussion Paper Series G99/3, Reserve Bank of New Zealand, revised Aug 1999.
  10. Christian Wagner, 2008. "Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank) 143, Oesterreichische Nationalbank (Austrian Central Bank).
  11. Gianluca Benigno & Pierpaolo Benigno & Salvatore Nisticò, 2011. "Risk, Monetary Policy and the Exchange Rate," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 247-309 National Bureau of Economic Research, Inc.
  12. Bernoth, Kerstin & de Vries, Casper G & von Hagen, Jürgen, 2010. "The Forward Premium Puzzle and Latent Factors Day by Day," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7772, C.E.P.R. Discussion Papers.
  13. Ahmad, Rubi & Rhee, S. Ghon & Wong, Yuen Meng, 2012. "Foreign exchange market efficiency under recent crises: Asia-Pacific focus," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(6), pages 1574-1592.
  14. Lucio Sarno & Giorgio Valente & Hyginus Leon, 2006. "Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle," Review of Finance, European Finance Association, European Finance Association, vol. 10(3), pages 443-482, September.
  15. Richard E. Baldwin, 1990. "Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests:Small Transaction Costs, Big Hysteresis Bands," NBER Working Papers 3319, National Bureau of Economic Research, Inc.
  16. MacDonald, Ronald & Moore, Michael J., 2001. "The spot-forward relationship revisited: an ERM perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 11(1), pages 29-52, March.
  17. Sebastian Edwards, 1982. "Exchange Rates amd "News": A Multi-Currency Approach," UCLA Economics Working Papers, UCLA Department of Economics 238, UCLA Department of Economics.
  18. 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.
  19. Hodrick, Robert J. & Srivastava, Sanjay, 1987. "Foreign currency futures," Journal of International Economics, Elsevier, Elsevier, vol. 22(1-2), pages 1-24, February.
  20. Juan A. Lafuente & Jesús Ruiz, 2002. "The Bias For Forward Exchange Rate And The Risk Premium: An Explanation With A Stochastic And Dynamic General Equilibrium Model," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) 2002-20, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
  21. Kenneth A. Froot, 1990. "Short Rates and Expected Asset Returns," NBER Working Papers 3247, National Bureau of Economic Research, Inc.
  22. Adrien Verdelhan, 2012. "The Share of Systematic Variation in Bilateral Exchange Rates," 2012 Meeting Papers, Society for Economic Dynamics 763, Society for Economic Dynamics.
  23. Robert J. Hodrick & Sanjay Srivastava, 1985. "The Covariation of Risk Premiums and Expected Future Spot Exchange Rates," NBER Working Papers 1749, National Bureau of Economic Research, Inc.
  24. Menzie Chinn & Jeffery Frankel, 1995. "More survey data on exchange rate expectations: More currencies, more horizons, more tests," International Finance, EconWPA 9508003, EconWPA.
  25. Graham Elliott & Takatoshi Ito, 1995. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market," NBER Working Papers 5376, National Bureau of Economic Research, Inc.
  26. Huisman, Ronald & Koedijk, Kees & Kool, Clemens & Nissen, Francois, 1998. "Extreme support for uncovered interest parity," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(1), pages 211-228, February.
  27. Òscar Jordà & Alan M. Taylor, 2009. "The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself," NBER Working Papers 15518, National Bureau of Economic Research, Inc.
  28. repec:dgr:uvatin:2007033 is not listed on IDEAS
  29. Tarek A. Hassan & Rui C. Mano, 2014. "Forward and Spot Exchange Rates in a Multi-currency World," NBER Working Papers 20294, National Bureau of Economic Research, Inc.
  30. Stuart Landon & Constance E. Smith, 2003. "The Risk Premium, Exchange Rate Expectations, and the Forward Exchange Rate: Estimates for the Yen--Dollar Rate," Review of International Economics, Wiley Blackwell, Wiley Blackwell, vol. 11(1), pages 144-158, February.
  31. repec:onb:oenbwp:y:2009:i:2:b:1 is not listed on IDEAS
  32. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2011. "Properties of Foreign Exchange Risk Premiums," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8503, C.E.P.R. Discussion Papers.
  33. Dhekra Azouzi & Rohit Vishal Kumar & Chaker Aloui, 2011. "Forward Rate Unbiasedness Hypothesis in the Tunisian Exchange Rate Market," International Journal of Academic Research in Business and Social Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Scien, Human Resource Management Academic Research Society, International Journal of Academic Research in Business and Social Sciences, vol. 1(2), pages 17-44, July.
  34. Dimitris Kenourgios & Aristeidis Samitas, 2005. "Testing Efficiency Of The Copper Futures Market: New Evidence From London Metal Exchange," Finance, EconWPA 0512010, EconWPA.
  35. Karen K. Lewis, 2011. "Global asset pricing," Globalization and Monetary Policy Institute Working Paper, Federal Reserve Bank of Dallas 88, Federal Reserve Bank of Dallas.
  36. Richard C. Marston, 1992. "Interest Differentials Under Fixed and Flexible Exchange Rates: The Effects of Capital Controls and Exchange Risk," NBER Working Papers 4053, National Bureau of Economic Research, Inc.
  37. Hochradl, Markus & Wagner, Christian, 2010. "Trading the forward bias: Are there limits to speculation?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(3), pages 423-441, April.
  38. Sercu, Piet & Vandebroek, Martina & Wu, Xueping, 2008. "Is the forward bias economically small? Evidence from European rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 27(8), pages 1284-1302, December.
  39. Craighead, William D. & Davis, George K. & Miller, Norman C., 2010. "Interest differentials and extreme support for uncovered interest rate parity," International Review of Economics & Finance, Elsevier, Elsevier, vol. 19(4), pages 723-732, October.
  40. Bekaert, Geert & Hodrick, Robert J., 1993. "On biases in the measurement of foreign exchange risk premiums," Journal of International Money and Finance, Elsevier, Elsevier, vol. 12(2), pages 115-138, April.
  41. Hodrick, Robert J. & Srivastava, Sanjay, 1984. "An investigation of risk and return in forward foreign exchange," Journal of International Money and Finance, Elsevier, Elsevier, vol. 3(1), pages 5-29, April.
  42. Charles Engel, 2011. "The Real Exchange Rate, Real Interest Rates, and the Risk Premium," NBER Working Papers 17116, National Bureau of Economic Research, Inc.
  43. repec:ebl:ecbull:v:6:y:2008:i:26:p:1-18 is not listed on IDEAS
  44. Simpson, Marc W. & Grossmann, Axel, 2014. "An examination of the forward prediction error of U.S. dollar exchange rates and how they are related to bid-ask spreads, purchasing power parity disequilibria, and forward premium asymmetry," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 28(C), pages 221-238.
  45. Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst, 2008. "Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors," NBER Working Papers 14424, National Bureau of Economic Research, Inc.
  46. MacDonald, Ronald, 2000. "Is the foreign exchange market 'risky'? Some new survey-based results," Journal of Multinational Financial Management, Elsevier, Elsevier, vol. 10(1), pages 1-14, January.
  47. Alina Serban, 2009. "Combining Mean Reversion and Momentum Trading Strategies in Foreign Exchange Markets," Working Papers 09-14, Department of Economics, West Virginia University.
  48. Lux, Thomas & Schornstein, Sascha, 2003. "Genetic learning as an explanation of stylized facts of foreign exchange markets," Economics Working Papers |aEconomics working paper, Christian-Albrechts-University of Kiel, Department of Economics.
  49. Alexakis, Panayotis & Apergis, Nicholas, 1996. "ARCH effects and cointegration: Is the foreign exchange market efficient?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 20(4), pages 687-697, May.
  50. Michael Mussa, 1993. "Discussion of 'Recent Thinking About Exchange Rate Determination and Policy'," RBA Annual Conference Volume, Reserve Bank of Australia, in: Adrian Blundell-Wignall (ed.), The Exchange Rate, International Trade and the Balance of Payments Reserve Bank of Australia.
  51. Graham Elliott & Takatoshi Ito, 1998. "Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Exchange rate Market," Discussion Paper Series, Institute of Economic Research, Hitotsubashi University a347, Institute of Economic Research, Hitotsubashi University.
  52. Grossmann, Axel & Simpson, Marc W., 2010. "Forecasting the Yen/U.S. Dollar exchange rate: Empirical evidence from a capital enhanced relative PPP-based model," Journal of Asian Economics, Elsevier, Elsevier, vol. 21(5), pages 476-484, October.
  53. Sofiane Amri, 2008. "Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model," Economics Bulletin, AccessEcon, vol. 6(26), pages 1-18.
  54. Peter Rowland, . "Uncovered Interest Parity and the USD/COP Echange Rate," Borradores de Economia 227, Banco de la Republica de Colombia.
  55. Henriksson, Roy. & Lessard, Donald R., 1982. "The efficiency of the forward exchange market : a conditional nonparametric test of forecasting ability," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 1337-82., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  56. Charles Engel, 2011. "Comment on "Risk, Monetary Policy and the Exchange Rate"," NBER Chapters, in: NBER Macroeconomics Annual 2011, Volume 26, pages 310-314 National Bureau of Economic Research, Inc.
  57. Kerstin Bernoth & Juergen von Hagen & Casper de Vries, 2007. "The Forward Premium Puzzle: new evidence from futures contracts," DNB Working Papers, Netherlands Central Bank, Research Department 125, Netherlands Central Bank, Research Department.
  58. Jose Eduardo de A. Ferreira, 2006. "Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies," Studies in Economics, Department of Economics, University of Kent 0603, Department of Economics, University of Kent.
  59. Ho, Tsung-Wu, 2003. "A re-examination of the unbiasedness forward rate hypothesis using dynamic SUR model," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 43(3), pages 542-559.
  60. Sarno, Lucio & Schneider, Paul & Wagner, Christian, 2010. "Properties of Foreign Exchange Risk Premia," MPRA Paper 21302, University Library of Munich, Germany.
  61. Levine, Ross, 1989. "An International Arbitrage Pricing Model with PPP Deviations," Economic Inquiry, Western Economic Association International, Western Economic Association International, vol. 27(4), pages 587-99, October.
  62. Kenneth A. Froot & Jeffrey A. Frankel, 1989. "Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations," NBER Working Papers 1963, National Bureau of Economic Research, Inc.
  63. Jean-Christian Lambelet & Alexander Mihailov, 2006. "The Triple-Parity Law," Computing in Economics and Finance 2006, Society for Computational Economics 33, Society for Computational Economics.
  64. John Pippenger, 1991. "Forward rates as predictors of future spot rates in small open economies: The case of Kuwait," Open Economies Review, Springer, Springer, vol. 2(2), pages 183-201, June.
  65. Wagner, Christian, 2012. "Risk-premia, carry-trade dynamics, and economic value of currency speculation," Journal of International Money and Finance, Elsevier, Elsevier, vol. 31(5), pages 1195-1219.
  66. Breedon, Francis & Rime, Dagfinn & Vitale, Paolo, 2010. "A Transaction Data Study of the Forward Bias Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7791, C.E.P.R. Discussion Papers.
  67. McCallum, Bennett T., 1994. "A reconsideration of the uncovered interest parity relationship," Journal of Monetary Economics, Elsevier, Elsevier, vol. 33(1), pages 105-132, February.
  68. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256 Bank for International Settlements.
  69. Eric Zivot, 1998. "Cointegration and Forward and Spot Exchange Rate Regressions," Econometrics, EconWPA 9812001, EconWPA.
  70. Douglas J. Hodgson & Oliver Linton & Keith Vorkink, 2004. "Testing forward exchange rate unbiasedness efficiently: a semiparametric approach," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 325-353, November.
  71. Sercu, Piet & Vinaimont, Tom, 2006. "The forward bias in the ECU: Peso risks vs. fads and fashions," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(8), pages 2409-2432, August.
  72. Steven N. Durlauf & Robert E. Hall, 1989. "Bounds on the Variances of Specification Errors in Models with Expectations," NBER Working Papers 2936, National Bureau of Economic Research, Inc.
  73. Charles Engel, 2013. "Exchange Rates and Interest Parity," NBER Working Papers 19336, National Bureau of Economic Research, Inc.
  74. Tauchen, George, 2001. "The bias of tests for a risk premium in forward exchange rates," Journal of Empirical Finance, Elsevier, Elsevier, vol. 8(5), pages 695-704, December.
  75. Anella Munro, 2014. "Exchange rates, expected returns and risk," Reserve Bank of New Zealand Discussion Paper Series DP2014/01, Reserve Bank of New Zealand.
  76. Napolitano, Oreste, 2000. "The efficiency hypothesis and the role of 'news' in the Euro/British pound exchange rate market: an empirical analysis using daily data," ISER Working Paper Series 2000-30, Institute for Social and Economic Research.
  77. Vistesen, Claus, 2008. "Of Low Yielders and Carry Trading – the JPY and CHF as Market Risk Sentiment Gauges," MPRA Paper 9952, University Library of Munich, Germany.
  78. Sonia Pangusión Espinosa., . "Testing Uncovered Interest Rate Parity: The Spanish case," Studies on the Spanish Economy 128, FEDEA.
  79. Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 42(C), pages 302-313.
  80. Rohit Vishal Kumar & Dhekra Azouzi, 2011. "Tunisian and Indian Forex Markets: A Comparision on Forward Rate Unbiased Hypothesis," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 14(40), pages 81-98, June.
  81. Pasricha, Gurnain Kaur, 2006. "Survey of Literature on Covered and Uncovered Interest Parities," MPRA Paper 22737, University Library of Munich, Germany.
  82. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers, Society for Economic Dynamics 753, Society for Economic Dynamics.
  83. Bansal, Ravi & Gallant, A. Ronald & Hussey, Robert & Tauchen, George, 1995. "Nonparametric estimation of structural models for high-frequency currency market data," Journal of Econometrics, Elsevier, Elsevier, vol. 66(1-2), pages 251-287.
  84. John F. O. Bilson, 1980. "The "Speculative Efficiency" Hypothesis," NBER Working Papers 0474, National Bureau of Economic Research, Inc.
  85. repec:onb:oenbwp:y::i:143:b:1 is not listed on IDEAS
  86. Arouri, Mohamed El Hedi & Hammoudeh, Shawkat & Lahiani, Amine & Nguyen, Duc Khuong, 2013. "On the short- and long-run efficiency of energy and precious metal markets," Energy Economics, Elsevier, Elsevier, vol. 40(C), pages 832-844.
  87. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," Working Papers, Becker Friedman Institute for Research In Economics 2014-06, Becker Friedman Institute for Research In Economics.
  88. Juan Ángel Lafuente & Jesús Ruiz, 2002. "Time-Varying forward Bias and the Volatility of Risk Premium: a Monetary Explanation," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico 0214, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
  89. Durham, J. Benson, 2014. "Arbitrage-free affine models of the forward price of foreign currency," Staff Reports, Federal Reserve Bank of New York 665, Federal Reserve Bank of New York.
  90. Josh Stillwagon, 2013. "Does the Consumption CAPM Help in Accounting for Expected Currency Returns?," Working Papers, Trinity College, Department of Economics 1317, Trinity College, Department of Economics.
  91. Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group 85, Money Macro and Finance Research Group.
  92. Prakash Kannan, 2008. "Perspectiveson High Real Interest Rates in Turkey," IMF Working Papers 08/251, International Monetary Fund.
  93. Su, EnDer & Fen, Yu-Gin, 2011. "Applying the structural equation model rule-based fuzzy system with genetic algorithm for trading in currency market," MPRA Paper 35474, University Library of Munich, Germany.
  94. Momtchil Pojarliev, 2005. "Performance of Currency Trading Strategies in Developed and Emerging Markets: Some Striking Differences," Financial Markets and Portfolio Management, Springer, Springer, vol. 19(3), pages 297-311, October.
  95. Baillie, Richard T. & Kilic, Rehim, 2006. "Do asymmetric and nonlinear adjustments explain the forward premium anomaly?," Journal of International Money and Finance, Elsevier, Elsevier, vol. 25(1), pages 22-47, February.
  96. Waheed, Muhammad, 2009. "Forward rate unbiased hypothesis, risk premium and exchange rate expectations: estimates on Pakistan Rupee-US Dollar," MPRA Paper 33167, University Library of Munich, Germany, revised Jul 2010.
  97. HeeJoon Kang, 1992. "Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation," Open Economies Review, Springer, Springer, vol. 3(2), pages 215-232, June.
  98. Lars Peter Hansen, 2014. "Uncertainty Outside and Inside Economic Models," NBER Working Papers 20394, National Bureau of Economic Research, Inc.
  99. Bandopadhyaya, Arindam, 1991. "Speculative efficiency and risk premium in the market for foreign exchange : In search of the true specification," Economics Letters, Elsevier, Elsevier, vol. 36(3), pages 299-304, July.
  100. Bruce Felmincham & Peter Mansfield, 1997. "Rationality and the Risk Premium on the Australian dollar," International Economic Journal, Taylor & Francis Journals, Taylor & Francis Journals, vol. 11(3), pages 47-59.
  101. Caporale, Tony, 1998. "The impact of monetary regime changes: Some exchange rate evidence," Journal of Economic Behavior & Organization, Elsevier, Elsevier, vol. 35(1), pages 85-94, March.
  102. Joachim Zietz & Ghassem Homaifar, 1994. "Exchange rate uncertainty and the efficiency of the forward market for foreign exchange," Review of World Economics (Weltwirtschaftliches Archiv), Springer, Springer, vol. 130(3), pages 461-475, September.
  103. Nyahoho, Emmanuel, 1995. "La concurrence de monnaies dans un marché financier dématérialisé," L'Actualité Economique, Société Canadienne de Science Economique, Société Canadienne de Science Economique, vol. 71(3), pages 334-364, septembre.
  104. Markus J. Granziol & Matthias Denzler, 1985. "Zinssätze als Mittel zur Wechselkurs-Prognose?," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 121(II), pages 83-94, June.
  105. Heinrich W. Ursprung, 1982. "Einige Bemerkungen zur empirischen Überprüfung der Effizienzhypothese für Devisenterminmärkte," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), Swiss Society of Economics and Statistics (SSES), vol. 118(I), pages 81-92, March.
  106. Shively, Philip A., 2000. "Stationary time-varying risk premia in forward foreign exchange rates," Journal of International Money and Finance, Elsevier, Elsevier, vol. 19(2), pages 273-288, April.
  107. repec:dgr:uvatin:2006085 is not listed on IDEAS
  108. Corinne Winters, 2008. "The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen," Discussion Papers 08-2, Bank of Canada.
  109. Guy Meredith & Menzie D. Chinn, 1998. "Long-Horizon Uncovered Interest Rate Parity," NBER Working Papers 6797, National Bureau of Economic Research, Inc.
  110. Edmonds, Radcliffe Jr. & So, Jacky Y. C., 2004. "Is exchange rate volatility excessive? An ARCH and AR approach," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 44(1), pages 122-154, February.
  111. Giorgio Valente & H. L. Leon & Lucio Sarno, 2006. "Nonlinearity in Deviations From Uncovered Interest Parity," IMF Working Papers 06/136, International Monetary Fund.
  112. Craig Burnside, 2009. "Comment on "Carry Trades and Currency Crashes"," NBER Chapters, in: NBER Macroeconomics Annual 2008, Volume 23, pages 349-359 National Bureau of Economic Research, Inc.
  113. Sebastian Edwards, 1981. "Floating Excahnge Rates, Exectations and New Information," UCLA Economics Working Papers, UCLA Department of Economics 227, UCLA Department of Economics.