Econometric analysis of present value models when the discount factor is near one

DOI10.1016/j.jeconom.2012.07.002zbMath1443.62515OpenAlexW2127562698MaRDI QIDQ528078

Kenneth D. West

Publication date: 12 May 2017

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.nber.org/papers/w18247.pdf

zbMATH Keywords

random walkexchange rateefficient marketsasset priceexpected returnforward premium anomalyforward ratemartingale modeluncovered interest parity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites Work

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