Fr. 286.00

Empirical Evidence on the Efficiency of Forward and Futures Foreign - Exchange Market

English · Hardback

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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, Hodrick Robert J.
Publisher Taylor & Francis Ltd.
 
Languages English
Product format Hardback
Released 31.12.2019
 
EAN 9781138469778
ISBN 978-1-138-46977-8
No. of pages 190
Series Fundamentals of Pure and Applied Economics Series
Subjects Social sciences, law, business > Business > General, dictionaries

BUSINESS & ECONOMICS / Econometrics, Economic statistics, Econometrics, Econometrics and economic statistics

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