Forward exchange rate unbiasedness is rejected in tests from the current floating exchange
rate era. This paper surveys advances in this area since the publication of Hodrick's (1987) …

Both state-space models and Markov switching models have been highly productive paths
for empirical research in macroeconomics and finance. This book presents recent advances …

We consider using out-of-sample mean squared prediction errors (MSPEs) to evaluate the
null that a given series follows a zero mean martingale difference against the alternative that …

This paper argues that the uncovered interest parity (UIP) relationship is distinct from, and
more important than, the unbiasedness of forward exchange rates as predictors of future …

This paper provides a comprehensive evaluation of the short-horizon predictive ability of
economic fundamentals and forward premiums on monthly exchange-rate returns in a …

This paper proposes a new explanation for the failure of Uncovered Interest Parity (UIP) that
rationalizes both the classic UIP puzzle and the evidence that the puzzle reverses direction …

This chapter provides a comprehensive review of the statistical and economic methods used
for evaluating exchange rate predictability. It analyzes the short‐horizon forecasting …

The estimation of ARFIMA models by approximate maximum likelihood estimation methods,
reveals the forward premia for the currencies of Canada, Germany and the UK vis-à-vis the …

Purpose–The paper aims to investigate the relationship between stock prices and exchange
rate movement in seven African countries. Design/methodology/approach–It uses vector …

A key theoretical prediction in financial economics is that under risk neutrality and rational
expectations a currency's forward rates should form unbiased predictors of future spot rates …