1. Turkey: From a thriving economic past towards a rugged future? - An empirical analysis on the Turkish financial markets. (2023). Stoupos, Nikolaos ; Nikas, Christos ; Kiohos, Apostolos.
   In: Emerging Markets Review.
   RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001091.

   Full description at Econpapers || Download paper

1. Ames, Matthew ; Bagnarosa, Guillaume ; Peters, Gareth W. Violations of uncovered interest rate parity and international exchange rate dependences. 2017 J. Int. Money Finance. 73 162-187

2. Bakshi, Gurdip ; Cerrato, Mario ; Crosby, John Implications of Incomplete Markets for International Economies. 2018 Rev. Finan. Stud.. 31 4017-4062

3. Bali, Turan G. ; Engle, Robert F. ; Murray, Scott Empirical asset pricing: the cross section of stock returns. 2016 John Wiley & Sons:
   Paper not yet in RePEc: Add citation now
   

4. Bilson, John F.O. The Speculative Efficiency Hypothesis. 1981 J. Bus.. 54 435-451

5. Brunnermeier, Markus K. ; Nagel, Stefan ; Pedersen, Lasse H. Carry trades and currency crashes. 2008 NBER macroeconomics annual. 23 313-348

6. Cenedese, Gino ; Payne, Richard ; Sarno, Lucio ; Valente, Giorgio What do stock markets tell us about exchange rates?. 2016 Review of Finance. 20 1045-1080

7. Chui, Andy C.W. ; Titman, Sheridan ; John Wei, K.C. Individualism and momentum around the world. 2010 Journal of Finance. 65 361-392

8. Compiani, Giovanni ; Kitamura, Yuichi Using mixtures in econometric models: a brief review and some new results. 2016 Econometrics Journal. 19 C95-C127

9. Curcuru, Stephanie E. ; Thomas, Charles P. ; Warnock, Francis E. ; Wongswan, Jon Uncovered Equity Parity and rebalancing in international portfolios. 2014 J. Int. Money Finance. 47 86-99

10. Deb, Partha, 2012. ”FMM: Stata module to estimate finite mixture models”.
    Paper not yet in RePEc: Add citation now
    

11. Du, Wenxin ; Tepper, Alexander ; Verdelhan, Adrien Deviations from covered interest rate parity. 2018 The Journal of Finance. 73 915-957

12. Engel, Charles Exchange Rates and Interest Parity. 2014 Handbook of International Economics. 4 453-522

13. Engel, Charles The forward discount anomaly and the risk premium: A survey of recent evidence. 1996 Journal of Empirical Finance. 3 123-192

14. Fama, Eugene F Forward and spot exchange rates. 1984 Journal of Monetary Economics. 14 319-338

15. Fan, Zhenzhen ; Londono, Juan M. ; Xiao, Xiao Equity tail risk and currency risk premiums. 2022 J. Financ. Econ.. 143 484-503

16. Gabaix, Xavier ; Maggiori, Matteo International Liquidity and Exchange Rate Dynamics. 2015 Quart. J. Econ.. 130 1369-1420

17. Gromb, Denis ; Vayanos, Dimitri Limits of Arbitrage. 2010 Annual Review of Financial Economics. 2 251-275

18. Guerin, Pierre ; Leiva-Leon, Danilo ; Marcellino, Massimiliano Markov-Switching Three-Pass Regression Filter. 2018 Journal of Business and Economic Statistics. -
    Paper not yet in RePEc: Add citation now
    

19. Gyntelberg, Jacob ; Loretan, Mico ; Subhanij, Tientip Private information, capital flows, and exchange rates. 2018 J. Int. Money Finance. 81 40-55

20. Hassan, Tarek A., Mano, Rui C., 2018. ”Forward and Spot Exchange Rates in a Multi-Currency World.” Quart. J. Econ., 10 2018, 134 (1), 397–450.
    Paper not yet in RePEc: Add citation now
    

21. Hau, Harald ; Rey, Helene Exchange rates, equity prices, and capital flows. 2006 Rev. Finan. Stud.. 19 273-317

22. Hossfeld, Oliver ; MacDonald, Ronald Carry funding and safe haven currencies: A threshold regression approach. 2015 J. Int. Money Finance. 59 185-202

23. Hou, Kewei ; Karolyi, G. Andrew ; Kho, Bong-Chan What factors drive global stock returns?. 2011 Rev. Finan. Stud.. 24 2527-2574

24. Huang, Tao ; Peng, Heng ; Zhang, Kun Model Selection For Gaussian Mixture Models. 2017 Statistica Sinica. 27 147-169
    Paper not yet in RePEc: Add citation now
    

25. Ince, Ozgur S. ; Burt Porter, R. Individual equity return data from Thomson Datastream: Handle with care!. 2006 Journal of Financial Research. 29 463-479

26. Kelly, Bryan ; Pruitt, Seth Market expectations in the cross-section of present values. 2013 Journal of Finance. 68 1721-1756

27. Kelly, Bryan ; Pruitt, Seth The three-pass regression filter: A new approach to forecasting using many predictors. 2015 Journal of Econometrics. 186 294-316

28. Khalili, Abbas ; Chen, Jiahua Variable selection in finite mixture of regression models. 2007 Journal of the american Statistical association. 102 1025-1038

29. Lee, Kuan-Hui The world price of liquidity risk. 2011 J. Financ. Econ.. 99 136-161

30. Maggiori, Matteo, 2021. ”International macroeconomics with imperfect financial markets,” Mimeo.

31. Mallahi-Karai, Keivan and Pedram Safari, “Future exchange rates and Siegel’s paradox”, arXiv e-prints, May 2018, p. arXiv:1805.03347.

32. Meitz, Mika ; Saikkonen, Pentti Testing for observation-dependent regime switching in mixture autoregressive models. 2021 Journal of Econometrics. 222 601-624

33. Naik, Prasad A ; Shi, Peide ; Tsai, Chih-Ling Extending the Akaike information criterion to mixture regression models. 2007 Journal of the American Statistical Association. 102 244-254

34. Pavlova, Anna ; Rigobon, Roberto Asset prices and exchange rates. 2007 Rev. Finan. Stud.. 20 1139-1180

35. Qu, Zhongjun ; Zhuo, Fan Likelihood Ratio-Based Tests for Markov Regime Switching. 2021 The Review of Economic Studies. 88 937-968

36. Ranaldo, Angelo and Paul Söderlind, ”Safe Haven Currencies*,” Review of Finance, 03 2010, 14 (3), 385–407.

37. Rogoff, Kenneth ; Obstfeld, Maurice Foundations of International Macroeconomics. 1996 MIT Press: Cambridge, Massachusetts

38. Welch, Ivo ; Goyal, Amit A comprehensive look at the empirical performance of equity premium prediction. 2008 Rev. Finan. Stud.. 21 1455-1508

39. Wong, C.S. ; Li, W.K. On a Logistic Mixture Autoregressive Model. 2001 Biometrika. 88 833-846
    Paper not yet in RePEc: Add citation now
    

1. Does the U.S. extreme indicator matter in stock markets? International evidence. (2024). Jing, Xiaozhen ; Singh, Tarlok ; Xu, Dezhong ; Li, Bin.
   In: Financial Innovation.
   RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-024-00610-w.

   Full description at Econpapers || Download paper

2. Why does uncovered interest parity fail empirically?. (2024). Aziz, Nusrate.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003612.

   Full description at Econpapers || Download paper

3. Unspanned macro risks in VIX futures. (2023). Yang, Xinglin.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1305-1328.

   Full description at Econpapers || Download paper

4. Stock returns and interest rate differential in high and low interest rate environments. (2023). Salisu, Afees ; Abdulsalam, Sikiru ; Sikiru, Abdulsalam Abidemi.
   In: International Journal of Finance & Economics.
   RePEc:wly:ijfiec:v:28:y:2023:i:2:p:1713-1728.

   Full description at Econpapers || Download paper

5. Uncovered return parity: Equity returns and currency returns. (2022). Dunbar, Geoffrey ; Djeutem, Edouard.
   In: Journal of International Money and Finance.
   RePEc:eee:jimfin:v:128:y:2022:i:c:s0261560622001097.

   Full description at Econpapers || Download paper

6. Asymmetric impact of Sino-US interest rate differentials and economic policy uncertainty ratio on RMB exchange rate. (2022). Long, Shaobo ; Zhang, Rui ; Hao, Jing.
   In: Journal of International Financial Markets, Institutions and Money.
   RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000555.

   Full description at Econpapers || Download paper

7. Do interest rate differentials drive the volatility of exchange rates? Evidence from an extended stochastic volatility model. (2022). Ulm, M ; Hambuckers, J.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:65:y:2022:i:c:p:125-148.

   Full description at Econpapers || Download paper

8. Coins with benefits: On existence, pricing kernel and risk premium of cryptocurrencies. (2021). Chen, Yi-Hsuan ; Vinogradov, Dmitri V.
   In: IRTG 1792 Discussion Papers.
   RePEc:zbw:irtgdp:2021006.

   Full description at Econpapers || Download paper

9. Entangled risks in incomplete FX markets. (2021). Maurer, Thomas ; Tran, Ngoc-Khanh.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:142:y:2021:i:1:p:146-165.

   Full description at Econpapers || Download paper

10. International stochastic discount factors and covariance risk. (2021). Branger, Nicole ; Herold, Michael ; Muck, Matthias.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

    Full description at Econpapers || Download paper

11. Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

    Full description at Econpapers || Download paper

12. Model‐Free International Stochastic Discount Factors. (2021). Sandulescu, Mirela ; Trojani, Fabio ; Vedolin, Andrea.
    In: Journal of Finance.
    RePEc:bla:jfinan:v:76:y:2021:i:2:p:935-976.

    Full description at Econpapers || Download paper

13. Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk. (2020). Wei, Jun.
    In: Complexity.
    RePEc:hin:complx:8816382.

    Full description at Econpapers || Download paper

14. Impact of Chinese Yuan Devaluation on the Dependence Structure: The Archimedean Copula Approach. (2019). Goh, Kim-Leng ; Lai, Wing-Choong.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:22:y:2019:i:01:n:s021909151950005x.

    Full description at Econpapers || Download paper

15. The validity of uncovered interest parity: Evidence from african members and non-member of the organisation of petroleum exporting countries (OPEC). (2019). Ogebe, Joseph O ; Adewuyi, Adeolu O.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:82:y:2019:i:c:p:229-249.

    Full description at Econpapers || Download paper

16. Modern portfolio management with conditioning information. (2015). Chiang, I-Hsuan Ethan.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:33:y:2015:i:c:p:114-134.

    Full description at Econpapers || Download paper

17. Sources of Risk in Currency Returns. (2012). Zviadadze, Irina ; Chernov, Mikhail ; Graveline, Jeremy.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:8745.

    Full description at Econpapers || Download paper

18. Risk, Monetary Policy and the Exchange Rate. (2011). Nisticò, Salvatore ; Benigno, Gianluca ; Nistico, Salvatore.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:17133.

    Full description at Econpapers || Download paper

19. Risk, Monetary Policy and the Exchange Rate. (2011). Nistico, Salvatore ; Benigno, Pierpaolo.
    In: NBER Chapters.
    RePEc:nbr:nberch:12420.

    Full description at Econpapers || Download paper

20. Explaining the returns of active currency managers. (2011). Rehman, Scheherazade S ; Nasypbek, Sam .
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-11.

    Full description at Econpapers || Download paper

21. Forward rate unbiased hypothesis, risk premium and exchange rate expectations: estimates on Pakistan Rupee-US Dollar. (2010). Waheed, Muhammad.
    In: MPRA Paper.
    RePEc:pra:mprapa:33167.

    Full description at Econpapers || Download paper

22. The Carry Trade and Fundamentals: Nothing to Fear But FEER Itself. (2009). Taylor, Alan ; Jorda, Oscar.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15518.

    Full description at Econpapers || Download paper

23. Risk-Premia, Carry-Trade Dynamics, and Speculative Efficiency of Currency Markets. (2008). Wagner, Christian.
    In: Working Papers.
    RePEc:onb:oenbwp:143.

    Full description at Econpapers || Download paper

24. Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors. (2008). Rouwenhorst, K. ; Gorton, Gary ; Bhardwaj, Geetesh.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14424.

    Full description at Econpapers || Download paper

25. Analysing the forward premium anomaly using a Logistic Smooth Transition Regression model.. (2008). Amri, Sofiane .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08f30042.

    Full description at Econpapers || Download paper

26. The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen. (2008). Winters, Corinne.
    In: Discussion Papers.
    RePEc:bca:bocadp:08-2.

    Full description at Econpapers || Download paper

27. The Forward Premium Puzzle only emerges gradually. (2007). von Hagen, Juergen ; de Vries, Casper ; Bernoth, Kerstin ; Jürgen von Hagen, .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20070033.

    Full description at Econpapers || Download paper

28. The Forward Premium Puzzle: new evidence from futures contracts. (2007). .
    In: Working Papers.
    RePEc:dnb:dnbwpp:125.

    Full description at Econpapers || Download paper

29. Effects of Fundamentals on the Exchange Rate: A Panel Analysis for a Sample of Industrialised and Emerging Economies. (2006). Jose Eduardo de A. Ferreira, .
    In: Studies in Economics.
    RePEc:ukc:ukcedp:0603.

    Full description at Econpapers || Download paper

30. Tail Probabilities for Regression Estimators. (2006). de Vries, Casper ; Mikosch, Thomas.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20060085.

    Full description at Econpapers || Download paper

31. Nonlinearity in Deviations from Uncovered Interest Parity: An Explanation of the Forward Bias Puzzle. (2006). Valente, Giorgio ; Sarno, Lucio ; Leon, Hyginus .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5527.

    Full description at Econpapers || Download paper

32. TESTING EFFICIENCY AND THE UNBIASEDNESS HYPOTHESIS OF THE EMERGING GREEK FUTURES MARKET. (2005). Kenourgios, Dimitris.
    In: Finance.
    RePEc:wpa:wuwpfi:0512015.

    Full description at Econpapers || Download paper

33. TESTING EFFICIENCY OF THE COPPER FUTURES MARKET: NEW EVIDENCE FROM LONDON METAL EXCHANGE. (2005). Kenourgios, Dimitris ; Samitas, Aristeidis.
    In: Finance.
    RePEc:wpa:wuwpfi:0512010.

    Full description at Econpapers || Download paper

34. Performance of Currency Trading Strategies in Developed and Emerging Markets: Some Striking Differences. (2005). Pojarliev, Momtchil.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:19:y:2005:i:3:p:297-311.

    Full description at Econpapers || Download paper

35. Testing forward exchange rate unbiasedness efficiently: a semiparametric approach. (2004). LINTON, OLIVER ; Hodgson, Douglas ; Vorkink, Keith.
    In: Journal of Applied Economics.
    RePEc:cem:jaecon:v:7:y:2004:n:2:p:325-353.

    Full description at Econpapers || Download paper

36. Uncovered Interest Parity and the USD/COP Echange Rate. (2003). Rowland, Peter .
    In: Borradores de Economia.
    RePEc:bdr:borrec:227.

    Full description at Econpapers || Download paper

37. The Out-of-Sample Success of Term Structure Models as Exchange Rate Predictors: A Step Beyond. (2001). Valente, Giorgio ; Taylor, Mark ; Sarno, Lucio ; Clarida, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8601.

    Full description at Econpapers || Download paper

38. The efficiency hypothesis and the role of ‘news’ in the Euro/British pound exchange rate market: an empirical analysis using daily data. (2000). Napolitano, Oreste.
    In: ISER Working Paper Series.
    RePEc:ese:iserwp:2000-30.

    Full description at Econpapers || Download paper

39. The forward rate unbiasedness hypothesis in inflation-targeting regimes. (1999). Razzak, Weshah.
    In: Reserve Bank of New Zealand Discussion Paper Series.
    RePEc:nzb:nzbdps:1999/03.

    Full description at Econpapers || Download paper

40. Predictive Regressions. (1999). Stambaugh, Robert.
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0240.

    Full description at Econpapers || Download paper

41. Cointegration and Forward and Spot Exchange Rate Regressions. (1998). Zivot, Eric.
    In: Econometrics.
    RePEc:wpa:wuwpem:9812001.

    Full description at Econpapers || Download paper

42. Long-Horizon Uncovered Interest Rate Parity. (1998). Chinn, Menzie ; Meredith, Guy.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6797.

    Full description at Econpapers || Download paper

43. Rationality and the Risk Premium on the Australian dollar. (1997). Mansfield, Peter ; Felmingham, Bruce S..
    In: International Economic Journal.
    RePEc:taf:intecj:v:11:y:1997:i:3:p:47-59.

    Full description at Econpapers || Download paper

44. More survey data on exchange rate expectations: More currencies, more horizons, more tests.. (1995). Frankel, Jeffrey ; Chinn, Menzie.
    In: International Finance.
    RePEc:wpa:wuwpif:9508003.

    Full description at Econpapers || Download paper

45. La concurrence de monnaies dans un marché financier dématérialisé. (1995). Nyahoho, Emmanuel .
    In: L'Actualité Economique.
    RePEc:ris:actuec:v:71:y:1995:i:3:p:334-364.

    Full description at Econpapers || Download paper

46. Heterogeneous Expectations and Tests of Efficiency in the Yen/Dollar Forward Foreign Exchange Rate Market. (1995). Ito, Takatoshi ; Elliott, Graham.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5376.

    Full description at Econpapers || Download paper

47. Exchange rate uncertainty and the efficiency of the forward market for foreign exchange. (1994). Zietz, Joachim ; Homaifar, Ghassem.
    In: Review of World Economics (Weltwirtschaftliches Archiv).
    RePEc:spr:weltar:v:130:y:1994:i:3:p:461-475.

    Full description at Econpapers || Download paper

48. A Reconsideration of the Uncovered Interest Parity Relationship. (1992). .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4113.

    Full description at Econpapers || Download paper

49. Interest Differentials Under Fixed and Flexible Exchange Rates: The Effects of Capital Controls and Exchange Risk. (1992). Marston, Richard C..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:4053.

    Full description at Econpapers || Download paper

50. Forward exchange rates as unbiased predictors of future spot rates a review and re-interpretation. (1992). Kang, Heejoon.
    In: Open Economies Review.
    RePEc:kap:openec:v:3:y:1992:i:2:p:215-232.

    Full description at Econpapers || Download paper

51. Are Option-Implied Forecasts of Exchange Rate Volatility Excessively Variable?. (1991). Wei, Shang-Jin ; Frankel, Jeffrey.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3910.

    Full description at Econpapers || Download paper

52. On Biases in the Measurement of Foreign Exchange Risk Premiums. (1991). Hodrick, Robert ; Bekaert, Geert.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3861.

    Full description at Econpapers || Download paper

53. Re-Interpreting the Failure of Foreign Exchange Market Efficiency Tests:Small Transaction Costs, Big Hysteresis Bands. (1990). Baldwin, Richard.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3319.

    Full description at Econpapers || Download paper

54. Short Rates and Expected Asset Returns. (1990). Froot, Kenneth.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:3247.

    Full description at Econpapers || Download paper

55. Bounds on the Variances of Specification Errors in Models with Expectations. (1989). Hall, Robert ; Durlauf, Steven.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:2936.

    Full description at Econpapers || Download paper

56. Interpreting Tests of Forward Discount Bias Using Survey Data on Exchange Rate Expectations. (1986). Froot, Kenneth ; Frankel, Jeffrey.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1963.

    Full description at Econpapers || Download paper

57. An international arbitrage pricing model with PPP deviations. (1986). Levine, Ross.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:294.

    Full description at Econpapers || Download paper

58. The Covariation of Risk Premiums and Expected Future Spot Exchange Rates. (1985). Hodrick, Robert ; Srivastava, Sanjay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1749.

    Full description at Econpapers || Download paper

59. Foreign Currency Futures. (1985). Hodrick, Robert ; Srivastava, Sanjay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1743.

    Full description at Econpapers || Download paper

60. An Investigation of Risk and Return in Forward Foreign Exchange. (1983). Hodrick, Robert ; Srivastava, Sanjay.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1180.

    Full description at Econpapers || Download paper

61. Floating Exchange Rates, Expectations and New Information. (1983). Edwards, Sebastian.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1064.

    Full description at Econpapers || Download paper

62. Einige Bemerkungen zur empirischen Überprüfung der Effizienzhypothese für Devisenterminmärkte. (1982). .
    In: Swiss Journal of Economics and Statistics (SJES).
    RePEc:ses:arsjes:1982-i-5.

    Full description at Econpapers || Download paper

63. The efficiency of the forward exchange market : a conditional nonparametric test of forecasting ability. (1982). Lessard, Donald ; Henriksson, Roy., .
    In: Working papers.
    RePEc:mit:sloanp:2020.

    Full description at Econpapers || Download paper

64. Exchange Rates amd News: A Multi-Currency Approach. (1982). Edwards, Sebastian.
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:238.

    Full description at Econpapers || Download paper

65. Floating Excahnge Rates, Exectations and New Information. (1981). Edwards, Sebastian.
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:227.

    Full description at Econpapers || Download paper

66. Too much cocited documents. This list is not complete

Report date: 2025-09-30 20:54:44 || Missing content? Let us know