haku: @author Roll, R. / yhteensä: 28
viite: 9 / 28
Tekijä:Roll, R.
Yan, S.
Otsikko:An explanation of the forward premium "puzzle"
Lehti:European Financial Management
2000 : JUN, VOL. 6:2, p. 121-148
Asiasana:FOREIGN EXCHANGE
TIME SERIES
RISK
Kieli:eng
Tiivistelmä:Existing literature reports a puzzle about the forward rate premium over the spot foreign exchange rate. The premium is often negatively correlated with subsequent changes in the spot rate. This defies economic intuition and possibly violates market efficiency. Rational explanations include non-stationary risk premia and econometric mis-specifications, but some embrace the puzzle as a guide to profitable trading.
SCIMA tietueen numero: 217714
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