1. Semiparametric inference in multivariate fractionally cointegrated systems. (2010). Hualde, Javier ; Robinson, P. M..
   In: Journal of Econometrics.
   RePEc:eee:econom:v:157:y:2010:i:2:p:492-511.

   Full description at Econpapers || Download paper

2. Fully Modified Narrow-Band Least Squares Estimation of Stationary Fractional Cointegration. (2008). Nielsen, Morten ; Frederiksen, Per .
   In: Working Papers.
   RePEc:qed:wpaper:1171.

   Full description at Econpapers || Download paper

3. What drives volatility persistence in the foreign exchange market?. (2006). Hjalmarsson, Erik ; Berger, David ; Chaboud, Alain ; Howorka, Edward.
   In: International Finance Discussion Papers.
   RePEc:fip:fedgif:862.

   Full description at Econpapers || Download paper

4. The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market. (2006). Roder, Klaus ; Wilkens, Sascha.
   In: Global Finance Journal.
   RePEc:eee:glofin:v:17:y:2006:i:1:p:50-74.

   Full description at Econpapers || Download paper

5. Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting. (2006). Nielsen, Morten ; Christensen, Bent Jesper.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:133:y:2006:i:1:p:343-371.

   Full description at Econpapers || Download paper

6. Predicting volatility: getting the most out of return data sampled at different frequencies. (2006). Valkanov, Rossen ; Santa-Clara, Pedro ; Ghysels, Eric.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:131:y:2006:i:1-2:p:59-95.

   Full description at Econpapers || Download paper

7. Volatility puzzles: a simple framework for gauging return-volatility regressions. (2006). Zhou, Hao ; Bollerslev, Tim.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:131:y:2006:i:1-2:p:123-150.

   Full description at Econpapers || Download paper

8. Refined Inference on Long Memory in Realized Volatility. (2006). Phillips, Peter ; Lieberman, Offer.
   In: Cowles Foundation Discussion Papers.
   RePEc:cwl:cwldpp:1549.

   Full description at Econpapers || Download paper

9. The informational content of over-the-counter currency options. (2004). Christoffersen, Peter ; Mazzotta, Stefano .
   In: Working Paper Series.
   RePEc:ecb:ecbwps:2004366.

   Full description at Econpapers || Download paper

10. The Informational Content of Over-the-Counter Currency Options. (2004). Mazzotta, Stefano ; Christoffersen, Peter.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-16.

    Full description at Econpapers || Download paper

11. The Econometrics of Option Pricing. (2004). Renault, Eric ; Ghysels, Eric ; Garcia, René.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2004s-04.

    Full description at Econpapers || Download paper

12. Volatility puzzles: a unified framework for gauging return-volatility regressions. (2003). Zhou, Hao ; Bollerslev, Tim.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2003-40.

    Full description at Econpapers || Download paper

1. [1] Akonom, J. and C. Gourieroux, A Functional Central Limit Theorem for Fractional Processes, Technical Report 8801, CEPREMAP, Paris, 1987.
   Paper not yet in RePEc: Add citation now
   

2. [10] Barnhart, S.W. and A. Szakmary, Testing the Unbiasedness Forward Rate Hypothesis: Evidence on Unit Roots, Co-integration and Stochastic Coefficients, Journal of Financial and Quantitative Analysis, 26, 1991, 245-267.

3. [11] Benzoni, L., Pricing Options under Stochastic Volatility: An Econometric Analysis, Working Paper, Northwestern University, 1998.

4. [12] Beran, J., Statistics for Long Memory Processes, Chapman and Hall, 1994.
   Paper not yet in RePEc: Add citation now
   
5. [13] Bertail, P., D.N. Politis and J.P. Romano, On Subsampling with an Unknown Rate of Convergence, Journal of the American Statistical Association, 94, 1999, 569-579.
   Paper not yet in RePEc: Add citation now
   
6. [14] Black, F., Fact and Fantasy in the Use of Options, Financial Analysts Journal, 1975, 36-72.
   Paper not yet in RePEc: Add citation now
   

7. [15] Bollerslev, T. and H. O. Mikkelsen, Long-term Equity Anticipation Securities and Stock Market Volatility Dynamics, Journal Of Econometrics, 92, 1999, 75-99.

8. [16] Bollerslev, T. and H.O. Mikkelsen, Modeling and Pricing Long-Memory in Stock Market Volatility, Journal of Econometrics, 73, 1996.

9. [17] Brunetti, C. and C.L. Gilbert, Bivariate FIGARCH and Fractional Cointegration, Jour- nal of Empirical Finance, 7, 2000, 509-530.

10. [18] Canina, L. and S. Figlewski, The Informational Content of Implied Volatility, The Review of Financial Studies, 6, 1993, 659-681.

11. [19] Chernov, M., Implied Volatilities as Forecasts of Future Volatility, the Market Risk Premia, and Returns Variability, Mimeo, Columbia University, 2000.
    Paper not yet in RePEc: Add citation now
    

12. [2] Alizadeh, S., M. W. Brandt, and F. X. Diebold, Range-Based Estimation of Stochastic Volatility Models, Journal of Finance, 57, June 2002.

13. [20] Chernov, M., A. R. Gallant, E. Ghysels, and G. Tauchen, Alternative Models for Stock Price Dynamics, Working paper, 2001.
    Paper not yet in RePEc: Add citation now
    

14. [21] Christensen, B.J. and N.R. Prabhala, The Relation Between Implied and Realized Volatility, Journal of Financial Economics, 50, 1998, 125-150.

15. [22] Comte, F., Simulation and Estimation of Long Memory Continuous-Time Models, Jour- nal of Time Series Analysis, 17, 1996, 19-36.

16. [23] Comte, F. and E. Renault, Long-Memory Continuous-Time Models, Journal of Econo- metrics, 73, 1996, 101-149.
    Paper not yet in RePEc: Add citation now
    
17. [24] Comte, F. and E. Renault, Long-Memory in Continuous-Time Stochastic Volatility Mod- els, Mathematical Finance, 8, 1998, 291-323.
    Paper not yet in RePEc: Add citation now
    

18. [25] Dacorogna, M.M., U.A. Muller, R.J. Nagler, R.B. Olsen, and O.V. Pictet, A Geographical Model for the Daily and Weekly Seasonal Volatility in the Foreign Exchange Market, Journal of International Money and Finance, 12, 1993, 413-438

19. [26] Day, T. and C. Lewis, Stock Market Volatility and the Information Content of Stock
    Paper not yet in RePEc: Add citation now
    
20. [3] Andersen, T. G. and Tim Bollerslev, Answering the Critics: Yes, ARCH Models Do Provide Good Volatility Forecasts, International Economic Review, 39, 1998, 885-905.
    Paper not yet in RePEc: Add citation now
    

21. [4] Andersen, T. G., T. Bollerslev, F. X. Diebold, and P. Labys, The Distribution of Realized Exchange Rate Volatility, Journal of American Statistical Association, 2001a, 96, 42-55.

22. [5] Andersen, T. G., T. Bollerslev, F. X. Diebold, and H. Ebens, The Distribution of Realized Stock Return Volatility, Journal of Financial Economics, 61, 2001b, 43-76.

23. [6] Andrews, D. W. K. and P. Guggenberger, A Bias-Reduced Log-Periodogram Regression Estimator for the Long Memory Parameter, Mimeo, Yale University, 2000.

24. [8] Baillie, R., Long Memory Processes and Fractional Integration in Econometrics, Journal of Econometrics, 73, 1996, 5-59.

25. [9] Baillie, R., T. Bollerslev and H.O. Mikkelsen, Fractionally Integrated Generalized Au- toregressive Conditional Heteroskedasticity, Journal of Econometrics, 74, 1996, 3-30.

1. An analysis of the unbiased forward rate hypothesis in developed and emerging economies. (2019). Bonga-Bonga, Lumengo ; Phungo, Muka.
   In: MPRA Paper.
   RePEc:pra:mprapa:92222.

   Full description at Econpapers || Download paper

2. Testing commodity futures market efficiency under time-varying risk premiums and heteroscedastic prices. (2019). Lin, Hai ; Premachandra, IM ; Kuruppuarachchi, Duminda.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:77:y:2019:i:c:p:92-112.

   Full description at Econpapers || Download paper

3. Exchange rates dynamics revisited: a panel data test of the fractional integration order. (2014). Andersson, Fredrik.
   In: Empirical Economics.
   RePEc:spr:empeco:v:47:y:2014:i:2:p:389-409.

   Full description at Econpapers || Download paper

4. A model of medium term exchange rate forecast in an open economy. The case of the mexican peso. (2014). Guillén, Jorge ; Ruben, Mosqueda Almanza .
   In: Contaduría y Administración.
   RePEc:nax:conyad:v:59:y:2014:i:2:p:197-225.

   Full description at Econpapers || Download paper

5. Non-parametric analysis of equity arbitrage. (2014). VORTELINOS, DIMITRIOS.
   In: International Review of Economics & Finance.
   RePEc:eee:reveco:v:33:y:2014:i:c:p:199-216.

   Full description at Econpapers || Download paper

6. Asset Allocation Considerations for Pension Insurance Funds. (2013). Hertrich, Christian.
   In: Springer Books.
   RePEc:spr:sprbok:978-3-658-02167-2.

   Full description at Econpapers || Download paper

7. The relationship between the Renminbi future spot return and the forward discount rate. (2013). Scholtens, Bert ; de Haan, Jakob ; Zhao, Yanping ; Yang, Haizhen .
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:32:y:2013:i:c:p:156-168.

   Full description at Econpapers || Download paper

8. An analysis of forward exchange rate biasedness across developed and developing country currencies: Do observed patterns persist out of sample?. (2013). lucey, brian ; Loring, Grace .
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:17:y:2013:i:c:p:14-28.

   Full description at Econpapers || Download paper

9. Revisiting the forward—spot relation: an application of the nonparametric long-run correlation coefficient. (2012). Kanas, Angelos ; Ioannidis, Christos.
   In: Journal of Economics and Finance.
   RePEc:spr:jecfin:v:36:y:2012:i:1:p:148-161.

   Full description at Econpapers || Download paper

10. Forward Exchange Rate Biasedness across Developed and Developing Country Currencies - Do Observed Patterns Persist Out of Sample?Abstract:. (2012). lucey, brian ; Loring, Grace .
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp404.

    Full description at Econpapers || Download paper

11. Forward Rate Unbiasedness Hypothesis in the Tunisian Exchange Rate Market. (2011). Aloui, Chaker ; Kumar, Rohit Vishal ; Azouzi, Dhekra .
    In: International Journal of Academic Research in Business and Social Sciences.
    RePEc:hur:ijarbs:v:1:y:2011:i:2:p:17-44.

    Full description at Econpapers || Download paper

12. Forward rate unbiased hypothesis, risk premium and exchange rate expectations: estimates on Pakistan Rupee-US Dollar. (2010). Waheed, Muhammad .
    In: MPRA Paper.
    RePEc:pra:mprapa:33167.

    Full description at Econpapers || Download paper

13. Information transmission and spillover in currency markets: A generalized variance decomposition analysis. (2007). Kocagil, Ahmet E. ; Mansur, Iqbal ; Elyasiani, Elyas.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:47:y:2007:i:2:p:312-330.

    Full description at Econpapers || Download paper

14. Spot-forward cointegration, structural breaks and FX market unbiasedness. (2007). Villanueva, Miguel O..
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:17:y:2007:i:1:p:58-78.

    Full description at Econpapers || Download paper

15. The Forward Exchange Rate Bias Puzzle: Evidence from New Cointegration Tests. (2006). lucey, brian ; Aggarwal, Raj ; Mohanty, Sunil K..
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp123.

    Full description at Econpapers || Download paper

16. Some Empirical Observations on the Forward Exchange Rate Anomaly. (2006). O'Brien, Edward ; Bond, Derek ; OBrien, Edward J. ; Hession, Niall ; Harrison, Michael J.
    In: Research Technical Papers.
    RePEc:cbi:wpaper:3/rt/06.

    Full description at Econpapers || Download paper

17. TESTING EFFICIENCY AND THE UNBIASEDNESS HYPOTHESIS OF THE EMERGING GREEK FUTURES MARKET. (2005). Kenourgios, Dimitris.
    In: Finance.
    RePEc:wpa:wuwpfi:0512015.

    Full description at Econpapers || Download paper

18. A different approach to estimating betas of securities subject to thin trading and serial correlation. (2005). Wang, Peijie ; Jones, Trefor .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:15:y:2005:i:16:p:1145-1152.

    Full description at Econpapers || Download paper

19. Die internationale Intregration der Devisenmärkte in den mittel- und osteuropäischen Beitrittsländern: Spekulative Effizienz, Transaktionskosten und Wechselkursprämien. (2003). JOCHEM, Axel ; Herrmann, Sabine.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4204.

    Full description at Econpapers || Download paper

20. Long memory and the relation between implied and realized volatility. (2003). Perron, Benoit ; Bandi, Federico.
    In: Econometrics.
    RePEc:wpa:wuwpem:0305004.

    Full description at Econpapers || Download paper

21. The predictive power of implied volatility: Evidence from 35 futures markets. (2003). ORS, Evren ; Szakmary, Andrew ; Davidson, Wallace III ; Kim, Jin Kyoung.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:27:y:2003:i:11:p:2151-2175.

    Full description at Econpapers || Download paper

22. Some answers to puzzles in testing unbiasedness in the foreign exchange market. (2002). McNown, Robert ; Wallace, Myles S. ; Barnhart, Scott W..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:12:y:2002:i:10:p:687-696.

    Full description at Econpapers || Download paper

23. Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly. (2001). Phillips, Peter ; Maynard, Alex.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:16:y:2001:i:6:p:671-708.

    Full description at Econpapers || Download paper

24. Information flows between non-deliverable forward (NDF) and spot markets: Evidence from Korean currency. (2001). Park, Jin Woo .
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:9:y:2001:i:4:p:363-377.

    Full description at Econpapers || Download paper

25. Managing foreign exchange risk with derivatives. (2001). Brown Gregory W., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:60:y:2001:i:2-3:p:401-448.

    Full description at Econpapers || Download paper

26. Interdependence and dynamics in currency futures markets: A multivariate analysis of intraday data. (2001). Kocagil, Ahmet E. ; Elyasiani, Elyas.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:6:p:1161-1186.

    Full description at Econpapers || Download paper

27. Using Cointegration Restrictions to Improve Inference in Vector Autoregressive Systems.. (2000). Krehbiel, Tim ; Hill, Carter ; Adkins, Lee.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:14:y:2000:i:2:p:193-208.

    Full description at Econpapers || Download paper

28. Cointegration and forward and spot exchange rate regressions. (2000). Zivot, Eric .
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:19:y:2000:i:6:p:785-812.

    Full description at Econpapers || Download paper

29. Price transmission dynamics between ADRs and their underlying foreign securities. (2000). Kim, Minho ; Szakmary, Andrew C..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:24:y:2000:i:8:p:1359-1382.

    Full description at Econpapers || Download paper

30. Trading costs and price discovery across stock index futures and cash markets. (1999). Szakmary, Andrew C. ; Schwarz, Thomas V. ; Kim, Minho.
    In: Journal of Futures Markets.
    RePEc:wly:jfutmk:v:19:y:1999:i:4:p:475-498.

    Full description at Econpapers || Download paper

31. Re-examining forward market efficiency Evidence from fractional and Harris-Inder cointegration tests. (1999). Choudhry, Taufiq.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:8:y:1999:i:4:p:433-453.

    Full description at Econpapers || Download paper

32. Interest rate dynamics and speculative trading in a fixed exchange rate system. (1999). Abraham, Abraham .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:8:y:1999:i:2:p:213-222.

    Full description at Econpapers || Download paper

33. Uncovered interest parity, monetary policy and time-varying risk premia. (1999). Anker, Peter.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:18:y:1999:i:6:p:835-851.

    Full description at Econpapers || Download paper

34. Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model. (1999). Jeng, Jau-Lian .
    In: Global Finance Journal.
    RePEc:eee:glofin:v:10:y:1999:i:1:p:25-34.

    Full description at Econpapers || Download paper

35. Cointegration and Forward and Spot Exchange Rate Regressions. (1998). Zivot, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:9812001.

    Full description at Econpapers || Download paper

36. The unbiased forward rate hypothesis: a re-examination. (1998). Jung, Chulho ; Albarano, Robert ; Doroodian, K..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:8:y:1998:i:6:p:567-575.

    Full description at Econpapers || Download paper

37. Testing the rationality of expectations in the Australian foreign exchange market using survey data with missing observations. (1998). McKenzie, Colin ; Lim, Guay.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:8:y:1998:i:2:p:181-190.

    Full description at Econpapers || Download paper

38. Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers.. (1998). MOUGOUE, Mbodja ; Aggarwal, Raj.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:10:y:1998:i:2:p:193-206.

    Full description at Econpapers || Download paper

39. Cointegration of term structure premiums across countries. (1998). Zarruk, E. R. ; Wiley, M. K. ; Madura, J..
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:8:y:1998:i:4:p:393-412.

    Full description at Econpapers || Download paper

40. Adaptive estimation of cointegrating regressions with ARMA errors. (1998). Hodgson, Douglas.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:85:y:1998:i:2:p:231-267.

    Full description at Econpapers || Download paper

41. Testing the rationality of exchange rate and interest rate expectations: an empirical study of Australian survey-based expectations. (1997). Kim, Suk-Joong.
    In: Applied Economics.
    RePEc:taf:applec:v:29:y:1997:i:8:p:1011-1022.

    Full description at Econpapers || Download paper

42. Modelling the efficiency of the Canadian foreign exchange market: a bivariate transfer function analysis. (1997). Ahmed, Syed ; Ansari, M I.
    In: Applied Economics.
    RePEc:taf:applec:v:29:y:1997:i:1:p:63-70.

    Full description at Econpapers || Download paper

43. Do currency futures prices follow random walks?. (1997). C. W. Fok, Robert, ; Pan, Ming-Shiun ; Chan, Kam C..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:4:y:1997:i:1:p:1-15.

    Full description at Econpapers || Download paper

44. The impact of political shocks on cointegrated exchange rate series. (1996). Shawky, Hany A ; Biswas, Rita .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:3:y:1996:i:1:p:15-19.

    Full description at Econpapers || Download paper

45. The forward discount anomaly and the risk premium: A survey of recent evidence. (1996). Engel, Charles.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:2:p:123-192.

    Full description at Econpapers || Download paper

46. Exchange rate market efficiency: further evidence from cointegration tests. (1995). Ukpolo, Victor .
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:2:y:1995:i:6:p:196-198.

    Full description at Econpapers || Download paper

47. The Forward Discount Anomaly and the Risk Premium: A Survey of Recent Evidence. (1995). Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5312.

    Full description at Econpapers || Download paper

48. Arbitrage, Cointegration, and Testing the Unbiasedness Hypothesis in Financial Markets. (1995). KRONER, Kenneth F. ; Brenner, Robin J..
    In: Journal of Financial and Quantitative Analysis.
    RePEc:cup:jfinqa:v:30:y:1995:i:01:p:23-42_00.

    Full description at Econpapers || Download paper

49. LONG-RUN RELATIONS IN EXCHANGE MARKETS: A TEST OF COVERED INTEREST PARITY. (1995). Turtle, Harry J. ; Abeysekera, Sarath P..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:18:y:1995:i:4:p:431-447.

    Full description at Econpapers || Download paper

50. A Reconsideration of the Uncovered Interest Parity Relationship. (1992). McCallum, Bennett.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4113.

    Full description at Econpapers || Download paper

Report date: 2025-02-19 13:06:14 || Missing content? Let us know