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| Tekijä: | Theobald, M. |
| Otsikko: | Testing the relationship between forward and spot rates in foreign exchange market |
| Lehti: | Journal of Business Finance and Accounting
1991 : JAN, VOL. 18:1, p.1-12 |
| Asiasana: | FOREIGN EXCHANGE MARKET RISK EXCHANGE RATES MODELS FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | The relationship between the different model types used in tests for risk premia and informational efficiency in foreign markets are developed within an analytic framework. The impacts of risk premia and inefficiencies on the articulation between the models are analysed. Published empirical tests are carried out to demonstrate the analytic insights. Recommendations for combinations of model types are derived. The analytic results and recommendations are found to be exhibited by a sample of USD per GBP and JPY per GBP exchange rates. |
SCIMA