Multiple maturities and time-varying risk premia in forward exchange markets : An econometric analysis
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- Alex Maynard, 2006. "The forward premium anomaly: statistical artefact or economic puzzle? New evidence from robust tests," Canadian Journal of Economics, Canadian Economics Association, vol. 39(4), pages 1244-1281, November.
- Engel, Charles, 1996.
"The forward discount anomaly and the risk premium: A survey of recent evidence,"
Journal of Empirical Finance,
Elsevier, vol. 3(2), pages 123-192, June.
- Charles Engel, 1995. "The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence," NBER Working Papers 5312, National Bureau of Economic Research, Inc.
- Liu, Wei & Maynard, Alex, 2005. "Testing forward rate unbiasedness allowing for persistent regressors," Journal of Empirical Finance, Elsevier, vol. 12(5), pages 613-628, December.
- Alex Maynard, 2003. "Testing for Forward-Rate Unbiasedness: On Regression in Levels and in Returns," The Review of Economics and Statistics, MIT Press, vol. 85(2), pages 313-327, May.
- Luca Benati, 2006. "Affine term structure models for the foreign exchange risk premium," Bank of England working papers 291, Bank of England.
- da Costa, Carlos E. & Issler, João V. & Matos, Paulo F., 2015.
"A Note On The Forward And The Equity Premium Puzzles: Two Symptoms Of The Same Illness?,"
Cambridge University Press, vol. 19(02), pages 446-464, March.
- Costa, Carlos Eugênio da & Issler, João Victor & Matos, Paulo Rogério Faustino, 2013. "A note on the forward and the equity-premium puzzles: two symptoms of the same illness?," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 743, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
- Djeutem, Edouard, 2014. "Model uncertainty and the Forward Premium Puzzle," Journal of International Money and Finance, Elsevier, vol. 46(C), pages 16-40.
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