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Citations for "Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal-Extraction Approach"

by Wolff, Christian C

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  1. Bekkour, Lamia & Jin, Xisong & Lehnert, Thorsten & Rasmouki, Fanou & Wolff, Christian, 2015. "Euro at risk: The impact of member countries' credit risk on the stability of the common currency," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 67-83.
  2. Kim Chung-Han, 2000. "Balassa-Samuelson Theory and Predictability of the US/UK Real Exchange Rate," International Economic Journal, Taylor & Francis Journals, vol. 14(3), pages 101-121.
  3. Zhu, Zhen, 2002. "Time-varying forward bias and the expected excess return," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 12(2), pages 119-137, April.
  4. Baillie, Richard T. & Cho, Dooyeon, 2014. "Time variation in the standard forward premium regression: Some new models and tests," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 52-63.
  5. Straetmans, Stefan T.M. & Versteeg, Roald J. & Wolff, Christian C.P., 2013. "Are capital controls in the foreign exchange market effective?," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 36-53.
  6. Herrmann, Sabine & Jochem, Axel, 2003. "Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien," Discussion Paper Series 1: Economic Studies 2003,08, Deutsche Bundesbank, Research Centre.
  7. Ram Bhar & Carl Chiarella & Toan Pham, 2000. "Modeling the Currency Forward Risk Premium: Theory and Evidence," Research Paper Series 41, Quantitative Finance Research Centre, University of Technology, Sydney.
  8. Naka, Atsuyuki & Whitney, Gerald, 1995. "The unbiased forward rate hypothesis re-examined," Journal of International Money and Finance, Elsevier, vol. 14(6), pages 857-867, December.
  9. Groen, Jan J.J. & Balakrishnan, Ravi, 2006. "Asset price based estimates of sterling exchange rate risk premia," Journal of International Money and Finance, Elsevier, vol. 25(1), pages 71-92, February.
  10. Carol L. Osler, 1989. "Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis: A Theoretical Investigation," NBER Working Papers 3060, National Bureau of Economic Research, Inc.
  11. Winston T. Lin, 2005. "Currency forecasting based on an error components-seemingly unrelated nonlinear regression model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 24(8), pages 593-605.
  12. Campbell, Rachel & Koedijk, Kees & Lothian, James R & Mahieu, Ronald J, 2007. "Irving Fisher, Expectational Errors, and the UIP Puzzle," CEPR Discussion Papers 6294, C.E.P.R. Discussion Papers.
  13. Campbell-Pownall, R.A.J. & Koedijk, C.G. & Lothian, J.R. & Mahieu, R.J., 2007. "Irving Fisher and the UIP Puzzle: Meeting the Expectations a Century Later," ERIM Report Series Research in Management ERS-2007-088-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  14. Ron Jongen & Willem F.C. Verschoor & Christian C.P. Wolff, 2008. "Foreign Exchange Rate Expectations: Survey And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 22(1), pages 140-165, 02.
  15. Stefano Cavaglia & Kees Koedijk & Peter Vlaar, 1994. "Exchange rate expectations and risk premia in the European Monetary System: 1985–1991," Open Economies Review, Springer, vol. 5(4), pages 347-360, October.
  16. Cavaglia, Stefano M. F. G. & Wolff, Christian C. P., 1996. "A note on the determinants of unexpected exchange rate movements," Journal of Banking & Finance, Elsevier, vol. 20(1), pages 179-188, January.
  17. Raj Aggarwal & Brian M. Lucey & Sunil K. Mohanty, 2006. "The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests," The Institute for International Integration Studies Discussion Paper Series iiisdp123, IIIS.
  18. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, January.
  19. Zhiguang Wang & Prasad Bidarkota, 2012. "Risk premia in forward foreign exchange rates: a comparison of signal extraction and regression methods," Empirical Economics, Springer, vol. 42(1), pages 21-51, February.
  20. Bams, Dennis & Walkowiak, Kim & Wolff, Christian C. P., 2004. "More evidence on the dollar risk premium in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 23(2), pages 271-282, March.
  21. Kiani, Khurshid M., 2013. "Can signal extraction help predict risk premia in foreign exchange rates," Economic Modelling, Elsevier, vol. 33(C), pages 926-939.
  22. repec:kap:rqfnac:v:49:y:2017:i:1:d:10.1007_s11156-016-0584-y is not listed on IDEAS
  23. Kopchak, Seth J., 2013. "The realized forward term premium in the repo market," Journal of Financial Markets, Elsevier, vol. 16(2), pages 253-278.
  24. Zhongxia Jin, 2003. "The Dynamics of Real Interest Rates, Real Exchange Rates and the Balance of Payments in China; 1980-2002," IMF Working Papers 03/67, International Monetary Fund.
  25. Baum, Christopher F. & Barkoulas, John, 2006. "Dynamics of Intra-EMS Interest Rate Linkages," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 38(2), pages 469-482, March.
  26. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
  27. Siwat Nakmai, 2016. "Foreign exchange risk premia: from traditional to state-space analyses," Papers 1605.08025, arXiv.org.
  28. Brealey, R. A. & Kaplanis, E. C., 1995. "Discrete exchange rate hedging strategies," Journal of Banking & Finance, Elsevier, vol. 19(5), pages 765-784, August.
  29. Wolff, Christian C. P., 2000. "Measuring the forward foreign exchange risk premium: multi-country evidence from unobserved components models," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(1), pages 1-8, January.
  30. Shively, Philip A., 2000. "Stationary time-varying risk premia in forward foreign exchange rates," Journal of International Money and Finance, Elsevier, vol. 19(2), pages 273-288, April.
  31. Najand, Mohammad & Bond, Charlotte, 2000. "Structural models of exchange rate determination," Journal of Multinational Financial Management, Elsevier, vol. 10(1), pages 15-27, January.
  32. Madura, Jeff & Martin, A. D. & Wiley, Marilyn, 1999. "Forecast bias and accuracy of exchange rates in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 9(1), pages 27-43, January.
  33. Kim, Inbae & Salemi, Michael K., 2000. "Estimation and simulation of risk premia in equity and foreign exchange markets," Journal of International Money and Finance, Elsevier, vol. 19(4), pages 561-582, August.
  34. Frömmel, Michael & Kruse, Robinson, 2015. "Interest rate convergence in the EMS prior to European Monetary Union," Journal of Policy Modeling, Elsevier, vol. 37(6), pages 990-1004.
  35. Peggy Swanson, 1998. "Spot and forward exchange rates as predictors of future spot rates: trends in exchange market value and the contribution of new information," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 22(2), pages 129-138, June.
  36. Aziz Chouikh & Abdelwahed Trabelsi, 2014. "The Determinants of Risk Premia in Forward Foreign Exchange (FX) Markets," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 5(2), pages 19-28, April.
  37. Hong, Yongmiao & Li, Haitao & Zhao, Feng, 2007. "Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates," Journal of Econometrics, Elsevier, vol. 141(2), pages 736-776, December.
  38. Adrian, Tobias & Etula, Erkko & Groen, Jan J.J., 2011. "Financial amplification of foreign exchange risk premia," European Economic Review, Elsevier, vol. 55(3), pages 354-370, April.
  39. Frachot, Antoine, 1996. "A reexamination of the uncovered interest rate parity hypothesis," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 419-437, June.
  40. Bhatti, Razzaque H., 2014. "The existence of uncovered interest parity in the CIS countries," Economic Modelling, Elsevier, vol. 40(C), pages 227-241.
  41. Toni Gravelle & James Morley, 2005. "A Kalman filter approach to characterizing the Canadian term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 15(10), pages 691-705.
  42. Kumar, Satish & Trück, Stefan, 2014. "Unbiasedness and risk premiums in the Indian currency futures market," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 13-32.
  43. Fatemi, Ali M. & Tavakkol, Amir & Dukas, Stephen P., 1996. "Foreign exchange exposure and the pricing of exchange rate risk," Global Finance Journal, Elsevier, vol. 7(2), pages 169-189.
  44. TAKAGI Shinji & ESAKA Taro, 2001. "Risk Premiums and Exchange Rate Expectations: A Reassessment of the So-Called Dollar Peg Policies of Crisis East Asian Countries, 1994-97," ESRI Discussion paper series 003, Economic and Social Research Institute (ESRI).
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