Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
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A01=Robert J. Hodrick
A01=xxx Hodrick
advanced financial econometrics
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Canadian Dollar
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Conditional Capital Asset Pricing Model
Conditional Expectation
Conditional Heteroscedasticity
Conditional Homoscedasticity
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currency risk modelling
Day's Futures Price
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econometric analysis methods
empirical exchange rate predictability
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financial market efficiency
Forward Exchange Rate
Forward Premium
Forward Rate
Future Spot Rate
Futures Foreign Exchange Markets
Futures Prices
GMM Estimator
International Asset Pricing Models
international finance research
Intertemporal Marginal Rate
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Lucas Model
OLS Regression
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quantitative asset pricing
Risk Premium
Serial Correlation
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Unbiasedness Hypothesis
Product details
- ISBN 9781138469778
- Weight: 340g
- 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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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.
Robert J. Hodrick
