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Nonlinearity in Deviations From Uncovered Interest Parity : An Explanation of the Forward Bias Puzzle

Valente, Giorgio - 2006

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

Persistent link: https://www.econbiz.de/10014403034

The cost of carry model and regime shifts in stock index futures markets : an empirical investigation

Sarno, Lucio; Valente, Giorgio - In: The journal of futures markets 20 (2000) 7, pp. 603-624

Persistent link: https://www.econbiz.de/10001523738

The out-of-sample success of term structure models as exchange rate predictors : a step beyond

Clarida, Richard H.; Sarno, Lucio; Taylor, Mark P.; … - In: Journal of international economics 60 (2003) 1, pp. 61-83

Persistent link: https://www.econbiz.de/10001754209

Empirical exchange rate models and currency risk : some evidence density forecasts

Sarno, Lucio; Valente, Giorgio - In: Journal of international money and finance 24 (2005) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10002636012

Federal funds rate prediction

Sarno, Lucio (contributor); Thornton, Daniel L. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001971188

Monetary fundamentals and exchange rate dynamics under different nominal regimes

Sarno, Lucio; Valente, Giorgio; Wohar, Mark E. - In: Economic inquiry : journal of the Western Economic … 42 (2004) 2, pp. 179-193

Persistent link: https://www.econbiz.de/10002030002

Comparing the accuracy of density forecasts from competing models

Sarno, Lucio; Valente, Giorgio - In: Journal of forecasting 23 (2004) 8, pp. 541-557

Persistent link: https://www.econbiz.de/10002494582

Federal funds rate prediction

Sarno, Lucio; Thornton, Daniel L.; Valente, Giorgio - In: Journal of money, credit and banking : JMCB 37 (2005) 3, pp. 449-471

Persistent link: https://www.econbiz.de/10003012690

Exchange rates and fundamentals : evidence on the economic value of predictability

Abhyankar, Abhay; Sarno, Lucio; Valente, Giorgio - In: Journal of international economics 66 (2005) 2, pp. 325-348

Persistent link: https://www.econbiz.de/10002961971

Modelling and forecasting stock returns : exploiting the futures market, regime shifts and international spillovers

Sarno, Lucio; Valente, Giorgio - In: Journal of applied econometrics 20 (2005) 3, pp. 345-376

Persistent link: https://www.econbiz.de/10002807207