This document has not been cited yet.

1. 1. Backus, Davis, Silverio Foresi and Chris Telmer (2001): Affine Models of Currency Pricing: Accounting for the Forward Premium Anomaly, The Journal of Finance 56, no 1, Forthcoming.
   Paper not yet in RePEc: Add citation now
   

2. 2. Bansal, Ravi (1997) An Exploration of the Forward Premium Puzzle in Currency Markets, The Review of Financial Studies 10, no 2, 369-403.

3. 3. Bansal, Ravi and Magnus Dahlquist (2000): The Forward Premium Puzzle: Different Tales from Developed and Emerging Economies, Journal of International Economics 51, 115-144.

4. 4. Berk, J.M. (1998): The Information Content of the Yield Curve for Monetary Policy: A Survey, De Economist 146, 303-320.
   Paper not yet in RePEc: Add citation now
   

5. 5. Berk, J.M. and eter Van Bergeijk (2000): Is the Yield Curve a Useful Information Variable for the Eurosystem?, European Central Bank Working Paper 11.

6. 6. Cox, J., J. Ingersoll and S. Ross (1981): The relation Between Forward Prices and Futures Prices, Journal of Financial Economics 9, 321-346.

7. 7. Doob, Joseph (1953): Stochastic Processes, Wiley.
   Paper not yet in RePEc: Add citation now
   
8. 8. Duffie, Darrell (1988): Security Markets, Academic Press.
   Paper not yet in RePEc: Add citation now
   

9. 9. Engel, Charles (1995): The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence, Journal of Empirical Finance 3, 123-192.

1. Forward and Spot Exchange Rates in a Multi-currency World. (2014). Mano, Rui ; Hassan, Tarek.
   In: CEPR Discussion Papers.
   RePEc:cpr:ceprdp:10060.

   Full description at Econpapers || Download paper

2. Does Uncovered Interest Rate Parity Hold After All?. (2013). Scholtens, Bert ; Omer, Muhammad ; de Haan, Jakob.
   In: SBP Working Paper Series.
   RePEc:sbp:wpaper:57.

   Full description at Econpapers || Download paper

3. Properties of Foreign Exchange Risk Premiums. (2012). Wagner, Christian ; Sarno, Lucio ; Schneider, Paul.
   In: Working Paper series.
   RePEc:rim:rimwps:10_12.

   Full description at Econpapers || Download paper

4. Estimation of the Time-Varying Risk Premium in the Czech Foreign Exchange Market. (2012). Pota, Vit .
   In: Prague Economic Papers.
   RePEc:prg:jnlpep:v:2012:y:2012:i:1:id:407:p:3-17.

   Full description at Econpapers || Download paper

5. The Thursday effect of the forward premium puzzle. (2012). Ding, Liang.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:21:y:2012:i:1:p:302-318.

   Full description at Econpapers || Download paper

6. International Risk Cycles. (2011). Verdelhan, Adrien ; Siemer, Michael ; Gourio, Francois.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:17277.

   Full description at Econpapers || Download paper

7. Uncovered interest-rate parity over the past two centuries. (2011). Wu, Liuren ; Lothian, James ; JamesR. Lothian, .
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:30:y:2011:i:3:p:448-473.

   Full description at Econpapers || Download paper

8. Spot and forward volatility in foreign exchange. (2011). Tsiakas, Ilias ; Sarno, Lucio ; Della Corte, Pasquale.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:100:y:2011:i:3:p:496-513.

   Full description at Econpapers || Download paper

9. Possible solutions to the forward bias paradox. (2011). Richard T., Baillie, .
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:21:y:2011:i:4:p:617-622.

   Full description at Econpapers || Download paper

10. Properties of Foreign Exchange Risk Premiums. (2011). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8503.

    Full description at Econpapers || Download paper

11. Properties of Foreign Exchange Risk Premia. (2010). Wagner, Christian ; Schneider, Paul ; Sarno, Lucio.
    In: MPRA Paper.
    RePEc:pra:mprapa:21302.

    Full description at Econpapers || Download paper

12. The role of exchange rates in intertemporal risk-return relations. (2010). Wu, Liuren ; Bali, Turan G..
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:8:p:1670-1686.

    Full description at Econpapers || Download paper

13. Currency crisis and the forward discount bias: Evidence from emerging economies under breaks. (2010). Mollick, Andre ; Bai, Shuming.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:20:y:2010:i:5:p:556-574.

    Full description at Econpapers || Download paper

14. Risk-Premia, Carry-Trade Dynamics, and Economic Value of Currency Speculation. (2009). Wagner, Christian.
    In: MPRA Paper.
    RePEc:pra:mprapa:21125.

    Full description at Econpapers || Download paper

15. Bond risk premia, macroeconomic fundamentals and the exchange rate. (2008). Taboga, Marco ; Pericoli, Marcello.
    In: MPRA Paper.
    RePEc:pra:mprapa:9523.

    Full description at Econpapers || Download paper

16. Is the forward bias economically small? Evidence from European rates. (2008). Wu, Xueping ; Vandebroek, Martina ; Sercu, Piet.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:27:y:2008:i:8:p:1284-1302.

    Full description at Econpapers || Download paper

17. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies. (2008). Wu, Liuren ; Bakshi, Gurdip ; Carr, Peter.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:132-156.

    Full description at Econpapers || Download paper

18. The Japanese yen futures returns, spot returns, and the risk premium. (2008). Inci, Ahmet Can .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:18:y:2008:i:3:p:385-399.

    Full description at Econpapers || Download paper

19. Empirical Test of Affine Stochastic Discount Factor Model of Currency Pricing. (2008). Lebedinsky, Alex .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:6:y:2008:i:15:p:1-14.

    Full description at Econpapers || Download paper

20. Empirical Test of Affine Stochastic Discount Factor Model of Currency Pricing. (2008). Lebedinsky, Alex .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08f30012.

    Full description at Econpapers || Download paper

21. International capital asset pricing: Evidence from options. (2007). Wu, Liuren ; Mo, Henry.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:4:p:465-498.

    Full description at Econpapers || Download paper

22. Irving Fisher, Expectational Errors, and the UIP Puzzle. (2007). Mahieu, Ronald ; Lothian, James ; Pownall, Rachel ; Koedijk, Kees ; Campbell, Rachel .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:6294.

    Full description at Econpapers || Download paper

23. Co-integrating currencies and yield differentials. (2006). Inci, Ahmet Can .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:15:y:2006:i:2:p:159-175.

    Full description at Econpapers || Download paper

24. Do asymmetric and nonlinear adjustments explain the forward premium anomaly?. (2006). Baillie, Richard ; Kilic, Rehim .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:25:y:2006:i:1:p:22-47.

    Full description at Econpapers || Download paper

25. The forward bias in the ECU: Peso risks vs. fads and fashions. (2006). Sercu, Piet ; Vinaimont, Tom .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:8:p:2409-2432.

    Full description at Econpapers || Download paper

26. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle. (2006). Valente, Giorgio ; Sarno, Lucio ; Leon, Hyginus .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5527.

    Full description at Econpapers || Download paper

27. Modelling International Bond Markets with Affine Term Structure Models. (2005). Schneider, Paul ; Mosburger, Georg.
    In: Finance.
    RePEc:wpa:wuwpfi:0509003.

    Full description at Econpapers || Download paper

28. Do Asymmetric and Nonlinear Adjustments Explain the Forward Premium Anomaly?. (2005). Baillie, Richard ; Kilic, Rehim .
    In: Working Papers.
    RePEc:qmw:qmwecw:wp543.

    Full description at Econpapers || Download paper

29. Interest Rate Risk and the Forward Premium Anomaly in Foreign Exchange Markets. (2005). Wu, Shu.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:200519.

    Full description at Econpapers || Download paper

30. Does the forward premium anomaly depend on the sample period used or on the sign of the premium?. (2005). Kutan, Ali ; Zhou, SU.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:14:y:2005:i:1:p:17-25.

    Full description at Econpapers || Download paper

31. Testing affine term structure models in case of transaction costs. (2005). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:126:y:2005:i:1:p:201-232.

    Full description at Econpapers || Download paper

32. Scenario modelling for selective hedging strategies. (2004). Beltratti, Andrea ; Zenios, Stavros ; Laurant, Andrea.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2004:i:5:p:955-974.

    Full description at Econpapers || Download paper

33. International Capital Markets and Foreign Exchange Risk. (2004). Brennan, Michael ; Xia, Yihong .
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt53z0s29k.

    Full description at Econpapers || Download paper

34. Sources of Exchange Rate Fluctuations: The Cases of Mexico and Thailand in the Aftermaths of their Recent Currency Crises. (2003). Huang, Kevin ; KevinX. D. Huang, ; Suchada, Thaneepanichskul ; Kevin x. d. Huang, ; Kevin X. D. Huang, .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2003:v:4:i:2:p:375-400.

    Full description at Econpapers || Download paper

35. Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets. (2002). Santa-Clara, Pedro ; Brandt Michael W., ; Pedro, Santa-Clara.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:63:y:2002:i:2:p:161-210.

    Full description at Econpapers || Download paper

36. Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics?. (2002). Hodrick, Robert ; Vassalou, Maria.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:26:y:2002:i:7-8:p:1275-1299.

    Full description at Econpapers || Download paper

37. Daily Exchange Rate Behaviour and Hedging of Currency Risk. (2001). van Dijk, Herman ; Bos, Charles ; Mahieu, Ronald J..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20010017.

    Full description at Econpapers || Download paper

38. A New Representation for the Foreign Currency Risk Premium. (2001). Adao, Bernardino ; Ado, Bernardino ; Maria de Fatima Silva, .
    In: Working Papers.
    RePEc:ptu:wpaper:w200103.

    Full description at Econpapers || Download paper

39. High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models. (2001). Diebold, Francis ; Brandt, Michael W. ; Alizadeh, Sassan.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8162.

    Full description at Econpapers || Download paper

40. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets. (2001). Santa-Clara, Pedro ; Brandt, Michael W..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0274.

    Full description at Econpapers || Download paper

41. Price and volatility spillovers between interest rate and exchange value of the US dollar. (2001). So, Raymond W..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:12:y:2001:i:1:p:95-107.

    Full description at Econpapers || Download paper

42. The Foreign Exchange Risk Premium: Real and Nominal Factors. (2001). Hollifield, Burton ; Yaron, Amir.
    In: Working Papers.
    RePEc:ecl:upafin:01-1.

    Full description at Econpapers || Download paper

43. Do We Need Multi-Country Models to Explain Exchange Rate, Interest Rate and Bond Return Dynamics?. (2001). Hodrick, Robert ; Vassalou, Maria.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3056.

    Full description at Econpapers || Download paper

44. Daily exchange rate behaviour and hedging of currency risk. (2000). van Dijk, Herman ; Mahieu, Ronald ; Bos, Charles.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:15:y:2000:i:6:p:671-696.

    Full description at Econpapers || Download paper

45. The forward premium anomaly is not as bad as you think. (2000). Bollerslev, Tim ; Baillie, Richard.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:19:y:2000:i:4:p:471-488.

    Full description at Econpapers || Download paper

46. The forward premium puzzle: different tales from developed and emerging economies. (2000). Bansal, Ravi ; Dahlquist, Magnus.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:51:y:2000:i:1:p:115-144.

    Full description at Econpapers || Download paper

47. Testing Affine Term Structure Models in Case of Transaction Costs. (2000). Nijman, Theo ; Melenberg, Bertrand ; Driessen, Joost.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0553.

    Full description at Econpapers || Download paper

48. Daily Exchange Rate Behaviour and Hedging of Currency Risk. (2000). van Dijk, Herman ; Mahieu, Ronald ; Bos, Charles.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0504.

    Full description at Econpapers || Download paper

49. Daily Exchange Rate Behaviour and Hedging of Currency Risk. (1999). van Dijk, Herman ; Bos, Charles ; Mahieu, Ronald J..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:19990078.

    Full description at Econpapers || Download paper

50. Does intervention explain the forward discount puzzle?. (1997). Osterberg, William P..
    In: Economic Review.
    RePEc:fip:fedcer:y:1997:i:qiv:p:24-31.

    Full description at Econpapers || Download paper

Report date: 2025-02-03 02:57:31 || Missing content? Let us know