A principal explicação sugerida pela literatura para o viés do preço futuro em relação à taxa
de câmbio que prevalecerá no futuro é a existência de um prêmio de risco. Neste artigo são …

This book offers the opportunity to study and experience advanced empi-cal techniques in
finance and in general financial economics. It is not only suitable for students with an interest …

This book provides a comprehensive account of stochastic filtering as a modeling tool in
finance and economics. It aims to present this very important tool with a view to making it …

A determinação do custo de capital de uma indústria regulada é extremamente importante,
tanto para reguladores como para firmas reguladas, pois é por meio de uma taxa de retorno …

This paper carries out an empirical investigation of an extended version of Flood and
Marion's (2000, Self-fulfilling risk predictions: an application to speculative attacks. Journal …

This paper explores the relationship between currency futures and realised spot rates for the
Indian rupee US dollar exchange rate. Using futures contracts with maturities of one, two …

Kurs złoty/euro: teoria i empiria Page 1 http://dx.doi.org/10.18778/7525-821-9 Page 2 Page
3 Page 4 Robert Kelm – Katedra Modeli i Prognoz Ekonometrycznych, Instytut Ekonometrii …

In this article, we develop and estimate an econometric panel data model to capture the
common dynamics in dollar risk premia in various forward foreign exchange rates. The …

This paper explores whether knowledge of the time-series properties of the premium in the
pricing of forward foreign exchange can be usefully exploited in forecasting future spot …

This paper employs a century of the UK stock market data to examine various sate-space
model specifications and Vector Autoregression (VAR) models to investigate how much …