Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

AvRobert J. Hodrick

Inbunden, Engelska, 2019

Del i serien Fundamentals of Pure and Applied Economics Series

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Häftad

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2019-10-02
Mått:138 x 216 x undefined mm
Vikt:340 g
Format:Inbunden
Språk:Engelska
Serie:Fundamentals of Pure and Applied Economics Series
Antal sidor:190
Förlag:Taylor & Francis Ltd
ISBN:9781138469778

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap

Mer om författaren

Robert J. Hodrick

Innehållsförteckning

1. Introduction 2. Asset Pricing Theory 3. Econometric Tests of the Efficiency Hypothesis: Autocorrelation and Unbiasedness 4. Alternative Interpretations of Rejections of the Unbiasedness Hypothesis 5. Econometric Models of Risk Premiums 6. Evaluation of Forecasts 7. Empirical Investigation of Foreign Currency Futures 8. Conclusions