Currency futures-spot basis and risk premium
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Volume (Year): 17 (2007)
Issue (Month): 2 (April)
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References listed on IDEAS
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- Taylor, Stephen J, 1992. "Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?," The Economic Record, The Economic Society of Australia, vol. 0(0), pages 105-16, Supplemen.
- Whitney K. Newey & Kenneth D. West, 1986.
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- Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
- Newey, Whitney K & West, Kenneth D, 1987. "A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix," Econometrica, Econometric Society, vol. 55(3), pages 703-08, May.
- Cornell, Bradford & French, Kenneth R, 1983. " Taxes and the Pricing of Stock Index Futures," Journal of Finance, American Finance Association, vol. 38(3), pages 675-94, June.
- Longstaff, Francis A., 2000. "The term structure of very short-term rates: New evidence for the expectations hypothesis," Journal of Financial Economics, Elsevier, vol. 58(3), pages 397-415, December.
- Doukas, John & Rahman, Abdul, 1987. "Unit Roots Tests: Evidence from the Foreign Exchange Futures Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 101-108, March.
- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
- Louis Ederington & Jae Ha Lee, 2002. "Who Trades Futures and How: Evidence from the Heating Oil Futures Market," The Journal of Business, University of Chicago Press, vol. 75(2), pages 353-374, April.
- Charles S. Morris, 1989. "Managing stock market risk with stock index futures," Economic Review, Federal Reserve Bank of Kansas City, issue Jun, pages 3-16.
- Barkoulas, John T & Labys, Walter C & Onochie, Joseph I, 1999. "Long Memory In Futures Prices," The Financial Review, Eastern Finance Association, vol. 34(1), pages 91-100, February.
- Inci, Ahmet Can & Lu, Biao, 2004. "Exchange rates and interest rates: can term structure models explain currency movements?," Journal of Economic Dynamics and Control, Elsevier, vol. 28(8), pages 1595-1624, June.
- Hsieh, David A., 1993. "Using non-linear methods to search for risk premia in currency futures," Journal of International Economics, Elsevier, vol. 35(1-2), pages 113-132, August.
- Bessembinder, Hendrik, 1992. "Systematic Risk, Hedging Pressure, and Risk Premiums in Futures Markets," Review of Financial Studies, Society for Financial Studies, vol. 5(4), pages 637-67.
- Frankel, Jeffrey A, 1979. "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials," American Economic Review, American Economic Association, vol. 69(4), pages 610-22, September.
- Tse, Yiuman & Booth, G Geoffrey, 1996. "Risk Premia in Foreign Currency Futures: A Reexamination," The Financial Review, Eastern Finance Association, vol. 31(3), pages 521-34, August.
- Hsinan Hsu & Janchung Wang, 2004. "Price Expectation and the Pricing of Stock Index Futures," Review of Quantitative Finance and Accounting, Springer, vol. 23(2), pages 167-184, 09.
- Sequeira, John M & McAleer, Michael & Chow, Ying-Foon, 2001. "Efficient Estimation and Testing of Alternative Models of Currency Futures Contracts," The Economic Record, The Economic Society of Australia, vol. 77(238), pages 270-82, September.
- David K. Backus, 2001. "Affine Term Structure Models and the Forward Premium Anomaly," Journal of Finance, American Finance Association, vol. 56(1), pages 279-304, 02.
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