Long-Memory Risk Premia in Exchange Rates
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References listed on IDEAS
- Robertson, D & Symons, J, 1994. "Five Weeks in the Life of the Pound. Interest Rates, Expectations and Sterling's Exit from the ERM," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 56(1), pages 1-12, February.
- Levin, Eric J & Copeland, Laurence S, 1993.
"Reading the Message from the U.K. Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium,"
The Manchester School of Economic & Social Studies,
University of Manchester, vol. 61(0), pages 13-34, Suppl..
- Eric J Levin & Laurence S Copeland, 1992. "Reading the Message from the UK Indexed Bond Market: Real Interest Rates, Expected Inflation and the Risk Premium," Working Papers Series 92/8, University of Stirling, Division of Economics.
- Woodward, G Thomas, 1990. "The Real Thing: A Dynamic Profile of the Term Structure of Real Interest Rates and Inflation Expectations in the United Kingdom, 1982-89," The Journal of Business, University of Chicago Press, vol. 63(3), pages 373-398, July.
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- repec:kap:iaecre:v:6:y:2000:i:1:p:33-49 is not listed on IDEAS
- Mulligan, Robert F. & Koppl, Roger, 2011. "Monetary policy regimes in macroeconomic data: An application of fractal analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(2), pages 201-211, May.
- Sofiane Sekioua, 2004. "The forward unbiasedness hypothesis and the forward premium: a nonlinear analysis," Money Macro and Finance (MMF) Research Group Conference 2003 85, Money Macro and Finance Research Group.
- Mulligan, Robert F., 2004. "Fractal analysis of highly volatile markets: an application to technology equities," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(1), pages 155-179, February.
- Mulligan, Robert F. & Lombardo, Gary A., 2004. "Maritime businesses: volatile stock prices and market valuation inefficiencies," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(2), pages 321-336, May.
- Sekioua, Sofiane H., 2006. "Nonlinear adjustment in the forward premium: evidence from a threshold unit root test," International Review of Economics & Finance, Elsevier, vol. 15(2), pages 164-183.
- Ana-Maria Fuertes & Jerry Coakley, 2001. "Rethinking the Forward Premium Puzzle in a Non-linear Framework," Working Papers wp01-06, Warwick Business School, Finance Group.
- Robert Mulligan, 2000. "A fractal analysis of foreign exchange markets," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 6(1), pages 33-49, February.
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