Fr. 96.00

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

English · Paperback / Softback

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Description

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List of contents

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

About the author

Robert J. Hodrick

Summary

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.

Product details

Authors Robert J. Hodrick, xxx Hodrick
Publisher Taylor and Francis
 
Languages English
Product format Paperback / Softback
Released 25.08.1987
 
EAN 9783718604159
ISBN 978-3-7186-0415-9
No. of pages 174
Weight 226 g
Illustrations Farb., s/w. Abb.
Series Fundamentals of Pure and Applied Economics Series

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