Continuous-Time Market Dynamics, ARCH Effects, and the Forward Premium Anomaly

2002 ◽  
Author(s):  
Nelson C. Mark ◽  
Young-Kyu Moh
Keyword(s):  
Continuous Time ◽  
Market Dynamics ◽  
Forward Premium Anomaly ◽  
Forward Premium

Can country-specific interest rate factors explain the forward premium anomaly?

2020 ◽  
Author(s):  
Efthymios Argyropoulos ◽  
Nikolaos Elias ◽  
Dimitris Smyrnakis ◽  
Elias Tzavalis
Keyword(s):  
Interest Rate ◽  
Specific Interest ◽  
Forward Premium Anomaly ◽  
Forward Premium ◽  
Country Specific

Forward premium anomaly of the British pound and the euro

2014 ◽  
Vol 34 ◽  
pp. 140-156 ◽  
Author(s):  
Axel Grossmann ◽  
Allissa A. Lee ◽  
Marc W. Simpson
Keyword(s):  
Forward Premium Anomaly ◽  
Forward Premium

scholarly journals The forward premium anomaly is not as bad as you think

2000 ◽  
Vol 19 (4) ◽  
pp. 471-488 ◽  
Author(s):  
Richard T. Baillie ◽  
Tim Bollerslev
Keyword(s):  
Forward Premium Anomaly ◽  
Forward Premium
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