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
Author_Robert J. Hodrick
Author_xxx Hodrick
Canadian Dollar
Category=KCL
Conditional Capital Asset Pricing Model
Conditional Expectation
Conditional Heteroscedasticity
Conditional Homoscedasticity
currency risk modelling
Day's Futures Price
econometric analysis methods
empirical exchange rate predictability
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eq_business-finance-law
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eq_nobargain
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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
Lucas Model
OLS Regression
Out-of Sample Experiment
quantitative asset pricing
Risk Premium
Serial Correlation
Static Capital Asset Pricing Model
Time Varying Risk Premium
UK Pound
Unbiasedness Hypothesis
Product details
- ISBN 9783718604159
- Weight: 226g
- Dimensions: 138 x 216mm
- Publication Date: 25 Aug 1987
- Publisher: Harwood-Academic Publishers
- Publication City/Country: CH
- Product Form: Paperback
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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.
