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New evidence on the forward unbiasedness hypothesis in the foreign-exchange market
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UNSPECIFIED. (2006) New evidence on the forward unbiasedness hypothesis in the foreign-exchange market. JOURNAL OF FUTURES MARKETS, 26 (7). pp. 627-656. 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 |
|---|---|
| Subjects: | H Social Sciences > HG Finance |
| Journal or Publication Title: | JOURNAL OF FUTURES MARKETS |
| Publisher: | JOHN WILEY & SONS INC |
| ISSN: | 0270-7314 |
| Date: | July 2006 |
| Volume: | 26 |
| Number: | 7 |
| Number of Pages: | 30 |
| Page Range: | pp. 627-656 |
| Identification Number: | 10.1002/fut.20211 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/33502 |
Data sourced from Thomson Reuters' Web of Knowledge
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