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The Empirical Evidence on the Efficiency of Forward and Futures Foreign ...
No preview available - 2001
analysis argue asset pricing model assumption asymptotic distribution autocorrelation Bilson Canadian dollar coefficients conditional heteroscedasticity conditional homoscedasticity conditional variance constant covariance matrix Cumby and Obstfeld Deutsche mark dollar values Dooley and Shafer Economics Section efficiency empirical equation evidence expected rate expected returns Fama 59 Fama's filter rule foreign currency foreign exchange market forward exchange rates forward market forward premium forward rate Frankel 67 French franc future spot rate futures prices Hansen and Hodrick heteroscedasticity Hodrick 98 Hodrick and Srivastava homoscedasticity information set interest rates Italian lira Japanese yen Korajczyk 122 level of significance Levich logarithmic marginal level maximum likelihood nonoverlapping null hypothesis observations orthogonality parameters percent portfolio predictors rate of depreciation rational expectations regression rejection relative risk aversion risk premium sample period serial correlation specification Srivastava 106 standard errors std error stochastic Swiss franc Table test statistics theory tion UK pound unbiasedness hypothesis vector Wolume zero