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Exchange-rate return predictability and the adaptive markets hypothesis : evidence from major foreign exchange rates

Charles, Amélie; Darné, Olivier; Kim, Jae H. - In: Journal of international money and finance 31 (2012) 6, pp. 1607-1626

Persistent link: https://www.econbiz.de/10009680015

Mid-day volatility spikes in US futures markets

Docking, Diane Scott; Kawaller, Ira A.; Koch, Paul D. - In: The journal of futures markets 19 (1999) 2, pp. 195-216

Persistent link: https://www.econbiz.de/10001369635

Forward discount dynamics in integrated markets

Aguirre, Maria Sophia - In: International review of economics & finance : IREF 8 (1999) 1, pp. 87-104

Persistent link: https://www.econbiz.de/10001427831

Three essays in international finance and financial economics

Hu, Xiaoqiang - 1994

Persistent link: https://www.econbiz.de/10000916084

The time variation of expected returns and volatility in foreign-exchange markets

Bekaert, Geert - In: Journal of business & economic statistics : JBES ; a … 13 (1995) 4, pp. 397-408

Persistent link: https://www.econbiz.de/10001190299

Ex ante real returns in foreward market speculation in the inter-war period : evidence and prediction

Payá, Ivan; Peel, David - In: New trends in macroeconomics : with 38 tables, (pp. 127-145). 2005

Persistent link: https://www.econbiz.de/10003022239

Roughing it up : including jump components in the measurement, modeling and forecasting of return volatility

Andersen, Torben (contributor); Bollerslev, Tim (contributor) - 2005

Persistent link: https://www.econbiz.de/10003586300

Roughing it up : including jump components in the measurement, modeling, and forecasting of return volatility

Andersen, Torben; Bollerslev, Tim; Diebold, Francis X. - In: The review of economics and statistics 89 (2007) 4, pp. 701-720

Persistent link: https://www.econbiz.de/10003567164

The forward premium puzzle and latent factors day by day

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2010

We use futures instead of forward rates to study the complete maturity spectrum of the forward premium puzzle from two days to six months. At short maturities the slope coefficient is positive, but these turn negative as the maturity increases to the monthly level. Futures data allow us to...

Persistent link: https://www.econbiz.de/10003949496

The forward premium puzzle and latent factors day by day

Bernoth, Kerstin; Hagen, Jürgen von; Vries, Casper G. de - 2010

Persistent link: https://www.econbiz.de/10003954428