Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models
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Volume (Year): 10 (2000)
Issue (Month): 1 (January)
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References listed on IDEAS
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- Wolff, Christian C P, 1987. " Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach," Journal of Finance, American Finance Association, vol. 42(2), pages 395-406, June.
- Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1991.
"Premia in forward foreign exchange as unobserved components,"
1991-12, Tilburg University, Center for Economic Research.
- Nijman, T.E. & Palm, F.C. & Wolff, C.C.P., 1993. "Premia in forward foreign exchange as unobserved components," Other publications TiSEM 23782b7b-2146-4381-8cf9-4, School of Economics and Management.
- 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.
- Charles Engel, 1995.
"The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence,"
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5312, National Bureau of Economic Research, Inc.
- 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.
- repec:ner:tilbur:urn:nbn:nl:ui:12-153275 is not listed on IDEAS
- Ansley, Craig F. & Spivey, W. Allen & Wrobleski, William J., 1977. "On the structure of moving average processes," Journal of Econometrics, Elsevier, vol. 6(1), pages 121-134, July.
- Bekaert, Geert & Hodrick, Robert J., 1993.
"On biases in the measurement of foreign exchange risk premiums,"
Journal of International Money and Finance,
Elsevier, vol. 12(2), pages 115-138, April.
- Geert Bekaert & Robert J. Hodrick, 1991. "On Biases in the Measurement of Foreign Exchange Risk Premiums," NBER Working Papers 3861, National Bureau of Economic Research, Inc.
- Nijman, Theo E & Palm, Franz C & Wolff, Christian C P, 1993. "Premia in Forward Foreign Exchange as Unobserved Components: A Note," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(3), pages 361-65, July.
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