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) …

Regime-switching models can match the tendency of financial markets to often change their
behavior abruptly and the phenomenon that the new behavior of financial variables often …

The most authoritative and comprehensive synthesis of modern econometrics available
Econometrics provides first-year graduate students with a thoroughly modern introduction to …

Time series analysis has undergone many changes in recent years with the advent of unit
roots and cointegration. Maddala and Kim present a comprehensive review of these …

Much has been written by historians and sociologists as well as business commentators
about the modern economy—the kind that supplanted the traditional economy in several …

This paper characterizes all continuous price processes that are consistent with current
option prices. This extends Derman and Kani (1994), Dupire (1994, 1997), and Rubinstein …

Aggregate consumption growth risk explains why low interest rate currencies do not
appreciate as much as the interest rate differential and why high interest rate currencies do …

Quantitative Financial Economics Quantitative Financial Economics provides a
comprehensive introduction to models of economic behaviour in financial markets, focusing …

Publisher Summary This chapter focuses on two puzzles related to international financial
markets. The first puzzle concerns explanations for deviations from uncovered interest parity …

One of the most puzzling features of currency prices is the forward premium anomaly: the
tendency for high interest rate currencies to appreciate. We characterize the anomaly in the …