The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange MarketsRobert Hodrick provides a foundation for developing quantitive measures of risk and expected return in international finance. |
Contents
Autocorrelation 4 andUnbiasedness AlternativeInterpretations of Rejections of the Unbiasedness Hypothesis | |
EvaluationofForecasts Empirical Investigationof Foreign Currency Futures 7 | |
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The Empirical Evidence on the Efficiency of Forward and Futures Foreign ... R. Hodrick Limited preview - 2014 |
Common terms and phrases
alternative analysis andthe asset pricing model assumption asymptotic distribution autocorrelation autoregressive Canadian dollar coefficients conditional heteroscedasticity conditional homoscedasticity conditional variance covariance matrix Deutsche mark deviation discussed Dooley econometric Efficiency empirical equation equilibrium evidence exchangerates expected return Fama 59 Fama’s filter rules Finance forecast errors foreign currency Foreign Exchange Markets forward contracts forward exchange rate forward premium forward rates Frankel French franc future spot rate futures prices Hakkio Hansen and Hodrick heteroscedasticity Hodrick 98 Hodrick and Srivastava Hodrickand interest rates inthe Japanese yen Journal of International Korajczyk 122 level of significance Levich logarithmic Lucas marginal level maximum likelihood nonoverlapping null hypothesis observations ofthe onthe parameters portfolio predictors profit rate of depreciation rational expectations regression rejection restrictions risk premium sample period Section serial correlation specification Srivastava 106 stochastic Swiss franc Table test statistics thatthe theforward theory tobe UK pound unbiasedness hypothesis variable vector zero