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

ISBN-13: 9783718604159 / Angielski / Miękka / 1987 / 174 str.

Raymond Bonnett; Robert J. Hodrick;Hodrick

Opis

First published in 1987. Routledge is an imprint of Taylor & Francis, an informa company.

Spis treści

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

O autorze

Robert J. Hodrick