Risk, Policy Rules, and Noise: Rethinking Deviations from Uncovered Interest Parity

A new look at the statistical model identification

1974 • 46,507 citations

Estimating the Dimension of a Model

1978 • 43,634 citations

Does the Stock Market Overreact?

1985 • 7,120 citations

Noise Trader Risk in Financial Markets

1990 • 6,029 citations

On a measure of lack of fit in time series models

1978 • 5,638 citations

Forward and spot exchange rates

1984 • 2,213 citations

Exchange rates and fundamentals: Evidence on long-horizon predictability

1995 • 1,120 citations

Long Swings in the Dollar: Are They in the Data and Do Markets Know It?

1990 • 1,006 citations

Real Exchange Rate Behavior: The Recent Float from the Perspective of the Past Two Centuries

1996 • 917 citations

The Message in Daily Exchange Rates

2002 • 828 citations

Forward Discount Bias: Is it an Exchange Risk Premium?

1989 • 756 citations

The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets

2014 • 628 citations

Common Stochastic Trends in a System of Exchange Rates

1989 • 595 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

Conditional variance and the risk premium in the foreign exchange market

1985 • 512 citations

Puzzles in International Financial Markets

1994 • 464 citations

A reconsideration of the uncovered interest parity relationship

1994 • 458 citations

Two Cases for Sand in the Wheels of International Finance

1995 • 406 citations

Banking on currency forecasts: How predictable is change in money?

1995 • 394 citations

Expectations and Volatility of Consumption and Asset Returns

1990 • 335 citations

Risk Averse Speculation in the Forward Foreign Exchange Market: An Econometric Analysis of Linear Models

1983 • 294 citations

On biases in the measurement of foreign exchange risk premiums

1993 • 284 citations

Accounting for Forward Rates in Markets for Foreign Currency

1993 • 219 citations

The Term Structure of Forward Exchange Premiums and the Forecastability of Spot Exchange Rates: Correcting the Errors

1997 • 169 citations

Understanding spot and forward exchange rate regressions

1997 • 153 citations

On the Biasedness of Forward Foreign Exchange Rates: Irrationality or Risk Premia?

1994 • 143 citations

Forward Foreign Exchange Rates, Expected Spot Rates, and Premia: A Signal‐Extraction Approach

1987 • 131 citations

Can a time-varying risk premium explain excess returns in the forward market for foreign exchange?

1990 • 123 citations

The diversifiability of exchange risk

1979 • 123 citations

Real exchange-rate prediction over long horizons

1997 • 116 citations

Imperfect Knowledge and Behaviour in the Foreign Exchange Market

1996 • 94 citations

Exchange Rate Expectations and the Risk Premium: Tests For A Cross Section of 17 Currencies*

1993 • 90 citations

Rewards Available to Currency Futures Speculators: Compensation for Risk or Evidence of Inefficient Pricing?

1992 • 85 citations

The Time Variation of Expected Returns and Volatility in Foreign-Exchange Markets

1995 • 82 citations

Exchange rate volatility and deviations from unbiasedness in a cash-in-advance model

1994 • 81 citations

Testing for the absence of expected real profits from forward market speculation

1984 • 67 citations

Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns

1994 • 66 citations

Understanding the U.S. Dollar in the Eighties: The Expectations of Chartists and Fundamentalists

1986 • 46 citations

The Road Less Travelled: Institutional Aspects of Data and their Influence on Empirical Estimates with an Application to Tests of Forward Rate Unbiasedness

1996 • 39 citations

The time‐series properties of the risk premium in the Yen/Dollar exchange market

1991 • 39 citations

Do Moving Average Trading Rule Results Imply Nonlinearities in Foreign Exchange Markets

1992 • 35 citations

Alternative Long-horizon Exchange-rate Predictors

1996 • 34 citations

Trends in excess returns in currency and bond markets

1993 • 33 citations

The Term Structure of Forward Exchange Premia and the Forecastability of Spot Exchange Rates: Correcting the Errors

1993 • 14 citations

Some Evidence on the Efficiency of the Forward Market for Foreign Exchange from Monte-Carlo Experiments

1995 • 11 citations

The Forward Premium Anomaly: Three Examples in Search of a Solution

1994 • 5 citations

The Forward Premium Anomaly: Three Examples in Serach of Solution

1994 • 2 citations