Rethinking an old empirical puzzle: econometric evidence on the forward discount anomaly

Co-Integration and Error Correction: Representation, Estimation, and Testing

1987 • 30,456 citations

Statistical Inference in Instrumental Variables Regression with I(1) Processes

1990 • 4,269 citations

Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

1991 • 4,036 citations

THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS

1983 • 2,957 citations

Forward and spot exchange rates

1984 • 2,213 citations

Understanding spurious regressions in econometrics

1986 • 1,797 citations

The handbook of international economics

1995 • 1,494 citations

Gaussian Semiparametric Estimation of Long Range Dependence

1995 • 1,480 citations

Log-Periodogram Regression of Time Series with Long Range Dependence

1995 • 1,278 citations

The forward discount anomaly and the risk premium: A survey of recent evidence

1996 • 1,172 citations

A Monetary Approach To The Exchange Rate: Doctrinal Aspects And Empirical Evidence

1977 • 970 citations

Asymptotics for Linear Processes

1992 • 933 citations

A Monetary Approach to the Exchange Rate: Doctrinal Aspects and Empirical Evidence

1976 • 810 citations

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

2014 • 628 citations

Puzzles in International Financial Markets

1994 • 464 citations

Market efficiency and cointegration: an application to the sterling and deutschemark exchange markets

1989 • 416 citations

The mean squared error of Geweke and Porter‐Hudak's estimator of the memory parameter of a long‐memory time series

1998 • 366 citations

Statistical aspects of self-similar processes

1987 • 364 citations

Convergence to Stochastic Integrals for Dependent Heterogeneous Processes

1992 • 358 citations

Partially Identified Econometric Models

1989 • 348 citations

The forward premium anomaly is not as bad as you think

2000 • 343 citations

The Japanese Economy

1991 • 287 citations

On biases in the measurement of foreign exchange risk premiums

1993 • 284 citations

The empirical evidence on the efficiency of forward and futures foreign exchange markets

1988 • 260 citations

Covered Interest Arbitrage and Market Turbulence

1989 • 229 citations

The Fractional Unit Root Distribution

1990 • 226 citations

The long memory of the forward premium

1994 • 214 citations

BIAS IN AN ESTIMATOR OF THE FRACTIONAL DIFFERENCE PARAMETER

1993 • 210 citations

Do Long-Term Swings in the Dollar Affect Estimates of the Risk Premia?

1995 • 206 citations

Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified

1995 • 201 citations

Covered Interest Parity: A High-Frequency, High-Quality Data Study

1987 • 184 citations

New Tools for Understanding Spurious Regressions

1998 • 175 citations

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

1997 • 169 citations

Transactions Costs and Covered Interest Arbitrage: Theory and Evidence

1988 • 167 citations

Testing the Unbiased Forward Rate Hypothesis: Evidence on Unit Roots, Co- Integration, and Stochastic Coefficients

1991 • 156 citations

Central bank intervention and risk in the forward market

1997 • 156 citations

Understanding spot and forward exchange rate regressions

1997 • 153 citations

Foreign exchange market efficiency and common stochastic trends

1994 • 143 citations

Econometric tests of rationality and market efficiency

1989 • 140 citations

A Package for Estimating, Forecasting and Simulating Arfima Models: Arfima package 1.0 for Ox

1999 • 96 citations

The Long Memory of the Foreward Premium

1993 • 87 citations

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

1995 • 82 citations

Discrete Fourier Transforms of Fractional Processes

1999 • 73 citations

Forward exchange market unbiasedness: the case of the Australian dollar since 1984

1997 • 50 citations

Two puzzles in the analysis of foreign exchange market efficiency

1998 • 42 citations

Covered interest parity and international capital market efficiency

1995 • 30 citations

Testing for Cointegration When Some of the Contributing Vectors are Known

1994 • 24 citations

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

1995 • 22 citations

Why Does the Spot-Forward Discount Fail to Predict Changes in Future Spot Rates?

1997 • 19 citations

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

1993 • 14 citations