Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Author:   Robert J. Hodrick
Publisher:   Taylor & Francis Ltd
ISBN:  

9781138469778


Pages:   190
Publication Date:   02 October 2019
Format:   Hardback
Availability:   In Print   Availability explained
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Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets


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Author:   Robert J. Hodrick
Publisher:   Taylor & Francis Ltd
Imprint:   CRC Press
Weight:   0.510kg
ISBN:  

9781138469778


ISBN 10:   1138469777
Pages:   190
Publication Date:   02 October 2019
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Hardback
Publisher's Status:   Active
Availability:   In Print   Availability explained
This item will be ordered in for you from one of our suppliers. Upon receipt, we will promptly dispatch it out to you. For in store availability, please contact us.

Table 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

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Robert J. Hodrick

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