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New evidence on the forward unbiasedness hypothesis in the foreign-exchange market
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Nikolaou, Kleopatra and Sarno, Lucio (2006) New evidence on the forward unbiasedness hypothesis in the foreign-exchange market. Journal of Futures Markets, Volume 26 (Number 7). pp. 627-656. doi:10.1002/fut.20211 ISSN 0270-7314.
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Official URL: http://dx.doi.org/10.1002/fut.20211
Abstract
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 exchange rates. The main results are that (a) tests based on stationary.
Item Type: | Journal Article | ||||||||
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Subjects: | H Social Sciences > HG Finance | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Journal or Publication Title: | Journal of Futures Markets | ||||||||
Publisher: | John Wiley & Sons Ltd. | ||||||||
ISSN: | 0270-7314 | ||||||||
Official Date: | 9 May 2006 | ||||||||
Dates: |
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Volume: | Volume 26 | ||||||||
Number: | Number 7 | ||||||||
Number of Pages: | 30 | ||||||||
Page Range: | pp. 627-656 | ||||||||
DOI: | 10.1002/fut.20211 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | Published | ||||||||
Access rights to Published version: | Restricted or Subscription Access |
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