Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
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Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Hodrick, Robert J.
Taylor & Francis Ltd
10/2019
190
Dura
Inglês
9781138469778
15 a 20 dias
510
Descrição não disponível.
1. Introduction 2. Asset Pricing Theory 3. Econometric Tests of the Efficiency Hypothesis: Autocorrelation and Unbiasedness 4. Alternative Interpretations of Rejections of the Unbiasedness Hypothesis 5. Econometric Models of Risk Premiums 6. Evaluation of Forecasts 7. Empirical Investigation of Foreign Currency Futures 8. Conclusions
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Unbiasedness Hypothesis;UK Pound;Risk Premium;Forward Premium;Future Spot Rate;Forward Rate;Conditional Heteroscedasticity;Static Capital Asset Pricing Model;Forward Exchange Rate;Futures Prices;Futures Foreign Exchange Markets;Conditional Expectation;Conditional Homoscedasticity;Day's Futures Price;Time Varying Risk Premium;Conditional Capital Asset Pricing Model;Serial Correlation;Lucas Model;GMM Estimator;OLS Regression;Canadian Dollar;Intertemporal Marginal Rate;International Asset Pricing Models;Filter Rule;Out-of Sample Experiment
1. Introduction 2. Asset Pricing Theory 3. Econometric Tests of the Efficiency Hypothesis: Autocorrelation and Unbiasedness 4. Alternative Interpretations of Rejections of the Unbiasedness Hypothesis 5. Econometric Models of Risk Premiums 6. Evaluation of Forecasts 7. Empirical Investigation of Foreign Currency Futures 8. Conclusions
Este título pertence ao(s) assunto(s) indicados(s). Para ver outros títulos clique no assunto desejado.
Unbiasedness Hypothesis;UK Pound;Risk Premium;Forward Premium;Future Spot Rate;Forward Rate;Conditional Heteroscedasticity;Static Capital Asset Pricing Model;Forward Exchange Rate;Futures Prices;Futures Foreign Exchange Markets;Conditional Expectation;Conditional Homoscedasticity;Day's Futures Price;Time Varying Risk Premium;Conditional Capital Asset Pricing Model;Serial Correlation;Lucas Model;GMM Estimator;OLS Regression;Canadian Dollar;Intertemporal Marginal Rate;International Asset Pricing Models;Filter Rule;Out-of Sample Experiment
