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Evidence of risk Premia in Foreign Currency Futures Markets

Author

Listed:
  • McCurdy, T.H.
  • Morgan, I.G.

Abstract

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Suggested Citation

  • McCurdy, T.H. & Morgan, I.G., 1989. "Evidence of risk Premia in Foreign Currency Futures Markets," UFAE and IAE Working Papers 130.90, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    • Handle: RePEc:aub:autbar:130.90
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    Cited by:

    1. Menelaos Karanasos, "undated". "The Covariance Structure of Component and Multivariate Garch Models," Discussion Papers 99/12, Department of Economics, University of York.
    2. Menelaos Karanasos, "undated". "Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models," Discussion Papers 00/14, Department of Economics, University of York.
    3. Napolitano, Oreste, 2000. "The efficiency hypothesis and the role of ‘news’ in the Euro/British pound exchange rate market: an empirical analysis using daily data," ISER Working Paper Series 2000-30, Institute for Social and Economic Research.
    4. Richard T. Baillie & William P. Osterberg, 1991. "The risk premium in forward foreign exchange markets and G-3 central bank intervention: evidence of daily effects, 1985-1990," Working Papers (Old Series) 9109, Federal Reserve Bank of Cleveland.
    5. Bollerslev, Tim, 1990. "Modelling the Coherence in Short-run Nominal Exchange Rates: A Multivariate Generalized ARCH Model," The Review of Economics and Statistics, MIT Press, vol. 72(3), pages 498-505, August.

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