Add to ORKGThis paper develops a model for the forward and spot exchange rate which allows for the presence of a Markov switching risk premium in the forward market and considers the issue of testing for the unbiased forward exchange rate (UFER) hypothesis. Using US/UK data, it is shown that the UFER hypothesis cannot be rejected provided that instrumental variables are used to account for within-regime correlation between explanatory variables and disturbances in the Markov switching model on which the test is based
This paper develops a stochastic coefficient model to examine the unbiased forward rate hypothesis f...
Empirical studies often report a negative relationship between the difference in the spot exchange r...
This paper evaluates two popular regression methods of testing the unbiasedness hypothesis in the fo...
This paper develops a model for the forward and spot exchange rate which allows for the presence of ...
This dissertation uses a time-varying risk premium to explain the failure of the unbiased forward ra...
This study assesses whether the unbiased forward rate hypothesis (UFRH) holds in its strong or weak ...
This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward ...
A large empirical literature has tested the unbiasedness hypothesis in the foreign exchange market u...
The existence of risk premium is thought to be the reason why forward exchange rate is not an unbias...
A large empirical literature has tested the unbiasedness hypothesis in the foreign-exchange market w...
This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the well...
In this paper we reexamine the evidence on the forward rate unbiasedness hypothesis for the main cur...
Forward exchange rate unbiassedness is rejected in test for international exchange markets. Such iss...
In the past two decades, there have been many empirical studies both in support of and opposing the ...
This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the well...
This paper develops a stochastic coefficient model to examine the unbiased forward rate hypothesis f...
Empirical studies often report a negative relationship between the difference in the spot exchange r...
This paper evaluates two popular regression methods of testing the unbiasedness hypothesis in the fo...
This paper develops a model for the forward and spot exchange rate which allows for the presence of ...
This dissertation uses a time-varying risk premium to explain the failure of the unbiased forward ra...
This study assesses whether the unbiased forward rate hypothesis (UFRH) holds in its strong or weak ...
This paper provides a robust statistical approach to testing the unbiasedness hypothesis in forward ...
A large empirical literature has tested the unbiasedness hypothesis in the foreign exchange market u...
The existence of risk premium is thought to be the reason why forward exchange rate is not an unbias...
A large empirical literature has tested the unbiasedness hypothesis in the foreign-exchange market w...
This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the well...
In this paper we reexamine the evidence on the forward rate unbiasedness hypothesis for the main cur...
Forward exchange rate unbiassedness is rejected in test for international exchange markets. Such iss...
In the past two decades, there have been many empirical studies both in support of and opposing the ...
This paper provides a theoretical discussion of the forward premium anomaly. We reformulate the well...
This paper develops a stochastic coefficient model to examine the unbiased forward rate hypothesis f...
Empirical studies often report a negative relationship between the difference in the spot exchange r...
This paper evaluates two popular regression methods of testing the unbiasedness hypothesis in the fo...