LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY

DOI10.1017/S1365100509080109zbMath1170.91466MaRDI QIDQ3397762

Avik Chakraborty

Publication date: 25 September 2009

Published in: Macroeconomic Dynamics (Search for Journal in Brave)

zbMATH Keywords

structural changespot exchange ratefundamentalsconstant-gain recursive least squares learningForward Exchange Rate

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64)

Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A simple recursive forecasting model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY

This page was built for publication: LEARNING, THE FORWARD PREMIUM PUZZLE, AND MARKET EFFICIENCY