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Testing the unbiasedness hypothesis in the forward foreign exchange market: A specification analysis

โœ Scribed by Allan W. Gregory; Thomas H. McCurdy

Book ID
116116353
Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
973 KB
Volume
3
Category
Article
ISSN
0261-5606

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New evidence on the forward unbiasedness
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โœ Kleopatra Nikolaou; Lucio Sarno ๐Ÿ“‚ Article ๐Ÿ“… 2006 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 180 KB

A large empirical literature has tested the unbiasedness hypothesis in the foreign-exchange market with the use of forward exchange rates. This article amends the conventional testing framework to exploit the information in currency options, with a newly constructed data set for three major dollar e