Currency futures-spot basis and risk premium
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Volume (Year): 17 (2007)
Issue (Month): 2 (April)
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- 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.
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- 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.
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- 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.
- 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.
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- 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.
- 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.
- Fama, Eugene F., 1984. "Forward and spot exchange rates," Journal of Monetary Economics, Elsevier, vol. 14(3), pages 319-338, November.
- 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.
- 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.
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