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Robert J. Hodrick

Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

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€223.20
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Canadian Dollar
Category1=Non-Fiction
Category=KCH
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Conditional Capital Asset Pricing Model
Conditional Expectation
Conditional Heteroscedasticity
Conditional Homoscedasticity
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Day's Futures Price
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Filter Rule
Forward Exchange Rate
Forward Premium
Forward Rate
Future Spot Rate
Futures Foreign Exchange Markets
Futures Prices
GMM Estimator
International Asset Pricing Models
Intertemporal Marginal Rate
Language_English
Lucas Model
OLS Regression
Out-of Sample Experiment
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PS=Active
Risk Premium
Serial Correlation
softlaunch
Static Capital Asset Pricing Model
Time Varying Risk Premium
UK Pound
Unbiasedness Hypothesis

Product details

  • ISBN 9781138469778
  • Weight: 510g
  • Dimensions: 138 x 216mm
  • Publication Date: 02 Oct 2019
  • Publisher: Taylor & Francis Ltd
  • Publication City/Country: GB
  • Product Form: Hardback
  • Language: English
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Description
This book presents a critical review of the empirical literature that studies the efficiency of the forward and futures markets for foreign exchange. It provides a useful foundation for research in developing quantitative measures of risk and expected return in international finance.
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Robert J. Hodrick