Testing Uncovered Interest Parity: A Continuous-Time Approach
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- Antonio Diez de los Rios & Enrique Sentana, 2011. "Testing Uncovered Interest Parity: A Continuous‐Time Approach," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(4), pages 1215-1251, November.
- Antonio Diez de los Rios & Enrique Sentana, 2007. "Testing Uncovered Interest Parity: A Continuous-Time Approach," Staff Working Papers 07-53, Bank of Canada.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Corrado Macchiarelli, 2013.
"On the Joint Test of the Uncovered Interest Parity and the Ex-ante Purchasing Power Parity,"
Review of International Economics,
Wiley Blackwell, vol. 21(3), pages 519-535, August.
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"Spanning tests in return and stochastic discount factor mean–variance frontiers: A unifying approach,"
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- Enrique Sentana & Francisco Penaranda, 2004. "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers dp497, Financial Markets Group.
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More about this item
KeywordsExchange Rates; Forward Premium Puzzle; Hausman Test; Interest Rates; Orstein-Uhlenbeck Process; Temporal Aggregation;
- F31 - International Economics - - International Finance - - - Foreign Exchange
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-10-13 (All new papers)
- NEP-CBA-2007-10-13 (Central Banking)
- NEP-ECM-2007-10-13 (Econometrics)
- NEP-IFN-2007-10-13 (International Finance)
- NEP-MON-2007-10-13 (Monetary Economics)
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