The forward discount puzzle and market efficiency

DOI10.1007/S10436-010-0159-1zbMATH Open1252.91081OpenAlexW2018681242MaRDI QIDQ691616FDOQ691616

Authors: Keith Pilbeam, Jose Olmo 

Publication date: 3 December 2012

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-010-0159-1

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zbMATH Keywords

Jensen's inequalityTaylor expansionefficient market hypothesisuncovered interest parityforward discount puzzle

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle
• Econometric tests of rationality and market efficiency

Cited In (7)

• The forward rate premium puzzle: a case of misspecification?1)
• The forward premium puzzle in a model of imperfect information
• Market efficiency in foreign exchange market
• Simple foreign exchange market efficiency revisited
• 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

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