Risk aversion, efficient markets and the forward exchange rate
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References listed on IDEAS
- Sweeney, Richard J, 1986. " Beating the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 41(1), pages 163-182, March.
- Hansen, Lars Peter & Hodrick, Robert J, 1980. "Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis," Journal of Political Economy, University of Chicago Press, vol. 88(5), pages 829-853, October.
- Jeffrey A. Frankel & Richard Meese, 1987.
"Are Exchange Rates Excessively Variable?,"
NBER Chapters,in: NBER Macroeconomics Annual 1987, Volume 2, pages 117-162
National Bureau of Economic Research, Inc.
- Jeffrey A. Frankel and Richard Meese., 1987. "Are Exchange Rates Excessively Variable," Economics Working Papers 8738, University of California at Berkeley.
- Jeffrey A. Frankel & Richard Meese, 1987. "Are Exchange Rates Excessively Variable?," NBER Working Papers 2249, National Bureau of Economic Research, Inc.
- Frankel, Jeffrey A. & Meese, Richard, 1987. "Are Exchange Rates Excessively Variable?," Department of Economics, Working Paper Series qt18n4c5f6, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
- Hodrick, Robert J. & Srivastava, Sanjay, 1986.
"The covariation of risk premiums and expected future spot exchange rates,"
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Elsevier, vol. 5(1, Supple), pages 5-21, March.
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- Mack Ott & Paul T. W. M. Veugelers, 1986. "Forward exchange rates in efficient markets: the effects of news and changes in monetary policy regimes," Review, Federal Reserve Bank of St. Louis, issue Jun, pages 5-15.
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- Jeffrey A. Frankel & Kenneth Froot, 1990.
"Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market,"
NBER Working Papers
3470, National Bureau of Economic Research, Inc.
- Jeffrey Frankel and Kenneth Froot., 1991. "Exchange Rate Forecasting Techniques, Survey Data, and Implications for the Foreign Exchange Market," Economics Working Papers 91-158, University of California at Berkeley.
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KeywordsForeign exchange futures ; Foreign exchange rates ; Interest rates;
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