This paper enquires whether the parameters of asset pricing models can be better represented by cointegration analysis to correct the bias in β estimates. Due to the existence of correlation in lagged series, cointegration analysis, or regression in levels, would produce better estimates of...

The paper proposes that the spot exchange rate consist of two parts. Important information content is with its underlying movement, in accordance with the development in the economy and the adjustment in economic activity. The paper then extracts the underlying movement from the spot exchange...

This study investigates the risk transmission between the spot and forward foreign exchange markets. In particular, the effect of innovation basis and signs of shocks in both markets are assessed. The market is less predictable when the spot and forward markets have experienced shocks of...