The forward rate premium puzzle: a case of misspecification?1)

DOI10.1515/SNDE-2013-0009MaRDI QIDQ5881692zbMATH OpenOpenAlexFDO

Authors Stephen G. Hall, Amangeldi Kenjegaliev, P. A. V. B. Swamy, George S. Tavlas

Publication date 13 March 2023

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/snde-2013-0009

zbMATH Keywords

forward premium anomalyspurious relationshiptime-varying-coefficient

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

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Cited in

(9)

• The forward bias: Is it a money tree?
• The forward premium anomaly and the trend behavior of the exchange rates
• The forward premium puzzle in a model of imperfect information
• Testing the persistence of the forward premium: structural changes or misspecification?
• A Nonlinear Analysis of Forward Premium and Volatility
• LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY
• Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
• Forward and spot exchange rates in a multi-currency world
• The forward discount puzzle and market efficiency

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