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

Robert J. Hodrick (Autor)

Buch | Hardcover

190 Seiten

2019
CRC Press (Verlag)
978-1-138-46977-8 (ISBN)

Artikel merken

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.

Robert J. Hodrick

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

Erscheinungsdatum	07.10.2019
Reihe/Serie	Fundamentals of Pure and Applied Economics Series
Verlagsort	London
Sprache	englisch
Maße	138 x 216 mm
Gewicht	340 g
Themenwelt	Mathematik / Informatik ► Mathematik
Themenwelt	Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie
ISBN-10	1-138-46977-7 / 1138469777
ISBN-13	978-1-138-46977-8 / 9781138469778
Zustand	Neuware