Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
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A01=R. Hodrick
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Author_R. Hodrick
Canadian Dollar
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Conditional Capital Asset Pricing Model
Conditional Expectation
Conditional Heteroscedasticity
Conditional Homoscedasticity
currency risk analysis
Day's Futures Price
deutsche
empirical foreign exchange market efficiency
eq_bestseller
eq_business-finance-law
eq_isMigrated=1
eq_isMigrated=2
eq_nobargain
eq_non-fiction
exchange rate predictability
Filter Rule
financial econometrics
Forward Premium
Forward Rate
Future Spot Rate
Futures Foreign Exchange Markets
Futures Prices
hypothesis
International Asset Pricing
International Asset Pricing Models
international finance
intertemporal
Intertemporal Marginal Rates
Lucas Model
marginal
premium
quantitative investment methods
rate
rates
Representative Agent Model
risk
Risk Premium
Risk Premiums
speculative trading strategies
spot
Static Capital Asset Pricing Model
SUR Regression
Time Varying Risk Premium
UK Pound
unbiasedness
Unbiasedness Hypothesis
Product details
- ISBN 9780415269131
- Weight: 500g
- Dimensions: 138 x 216mm
- Publication Date: 06 Dec 2001
- Publisher: Taylor & Francis Ltd
- Publication City/Country: GB
- Product Form: Hardback
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Robert Hodrick provides a foundation for developing quantitive measures of risk and expected return in international finance.
Robert J. Hodrick Northwestern University, USA
