LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY
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Publication:3397762
DOI10.1017/S1365100509080109zbMath1170.91466MaRDI QIDQ3397762
Publication date: 25 September 2009
Published in: Macroeconomic Dynamics (Search for Journal in Brave)
structural change; spot exchange rate; fundamentals; constant-gain recursive least squares learning; Forward Exchange Rate
91B64: Macroeconomic theory (monetary models, models of taxation)
Cites Work
- A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
- A simple recursive forecasting model
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY