The forward premium anomaly and the trend behavior of the exchange rates

DOI10.1016/S0165-1765(02)00053-8MaRDI QIDQ1607280zbMATHFDO

Authors Su Zhou

Publication date 31 July 2002

Published in Economics Letters (Search for Journal in Brave)

zbMATH Keywords

Forward premium anomalyForward rate unbiasedness hypothesisPeso problem

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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Cites work

• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root

Cited in

(5)

• LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY
• Testing the persistence of the forward premium: structural changes or misspecification?
• Investor overconfidence and the forward premium puzzle
• The forward rate premium puzzle: a case of misspecification?1)
• Forward and spot exchange rates in a multi-currency world

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