Search Results - subject:"Unbiasedness hypothesis"

Determinanty forwardového kurzu a role rizikových prémií : příklad měnových párů CZK/EUR a CZK/USD)

Arlt, Josef; Mandel, Martin - In: Politická ekonomie : teorie, modelování, aplikace 67 (2019) 5, pp. 476-489

Persistent link: https://www.econbiz.de/10012269288

The Forward Exchange Rate Unbiasedness Hypothesis: A Single Break Unit Root and CointegrationAnalysis

Mazur, Michael; Ramirez, Miguel - Department of Economics, Trinity College - 2013

opportunities across international markets. This study tests the forward exchange rate unbiasedness hypothesis using more powerful …

Persistent link: https://www.econbiz.de/10010902276

Three Essays in Forward Rate Unbiasedness Hypothesis

Chatterjee, Devalina - 2010

The objective of this dissertation is to verify and explain the forward exchange rate unbiasedness hypothesis in the … foreign exchange market. Since in most of the cases the unbiasedness hypothesis fails to hold, we try to provide three … applying a GARCH (1, 1) specification. The second essay attributes the failure of the unbiasedness hypothesis to hold to the …

Persistent link: https://www.econbiz.de/10009482342

A Yield Curve Perspective on Uncovered Interest Parity

Krippner, Leo - Department of Economics, Waikato Management School - 2006

forward rate unbiasedness hypothesis yield curve term structure of interest rates ANS model Nelson and Siegel model … of its parallel specification as the forward rate unbiasedness hypothesis (FRUH). 1 Firstly, it is well established that …

Persistent link: https://www.econbiz.de/10005634982

The Long and the Short of It: Long Memory Regressors and Predictive Regressions

Smallwood, Aaron; Maynard, Alex; Wohar, Mark - Society for Computational Economics - SCE - 2005

Persistent regressors pose a common problem in predictive regressions. Tests of the forward rate unbiased hypothesis (FRUH) constitute a prime example. Standard regression tests that strongly reject FRUH have been questioned on the grounds of potential long-memory in the forward premium....

Persistent link: https://www.econbiz.de/10005343050

The Dynamics and Stochastics of Currency Betas Based on the Unbiasedness Hypothesis in Foreign Exchange Markets

Lin, Winston T.; Lin, Hong-Jen; Chen, Yueh H. - In: Multinational Finance Journal 6 (2002) 3-4, pp. 167-195

beta) of the unbiasedness hypothesis (UH) in foreign exchange markets. We argue that the dynamics and stochastics of …

Persistent link: https://www.econbiz.de/10010937179

Dynamic and Stochastic Instability and the Unbiased Forward Rate Hypothesis: A Variable Mean Response Approach

Lin, Winston T. - In: Multinational Finance Journal 3 (1999) 3, pp. 173-221

Since the mid-1970's, the unbiased forward rate hypothesis (UFRH) of forward and spot exchange rates has been intensively studied and tested with inconclusive and contradictory results. On the basis of the hypothesis, this paper provides variable mean response (VMR) random coefficients models to...

Persistent link: https://www.econbiz.de/10010937116