New evidence on the forward unbiasedness
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Kleopatra Nikolaou; Lucio Sarno
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Article
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2006
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John Wiley and Sons
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English
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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