An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets

A Theory of the Term Structure of Interest Rates

1985 • 8,604 citations

A second course in stochastic processes

1981 • 2,967 citations

Controlled Markov processes and viscosity solutions

1992 • 2,916 citations

Forward and spot exchange rates

1984 • 2,213 citations

An Intertemporal General Equilibrium Model of Asset Prices

1985 • 2,096 citations

Continuous-Time Finance.

1991 • 1,946 citations

The handbook of international economics

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Interest rates and currency prices in a two-country world

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

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Risk-Taking, Global Diversification, and Growth

1994 • 1,094 citations

How Wide is the Border?

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Controlled markov processes and viscosity solutions

1994 • 978 citations

Anomalies: Foreign Exchange

1990 • 955 citations

A model of international asset pricing

1981 • 846 citations

The Message in Daily Exchange Rates

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Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World

1992 • 670 citations

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

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Perspectives on PPP and long-run real exchange rates

1994 • 572 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

Exchange rates and international macroeconomics

1984 • 403 citations

Stocks, bonds, bills, and inflation yearbook

1993 • 385 citations

Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions

1984 • 326 citations

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

1983 • 294 citations

The Message in Daily Exchange Rates: A Conditional-Variance Tale

1989 • 290 citations

On biases in the measurement of foreign exchange risk premiums

1993 • 284 citations

Changing Beliefs and Systematic Rational Forecast Errors with Evidence from Foreign Exchange

1989 • 260 citations

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

1988 • 260 citations

Haircuts or hysteresis? Sources of movements in real exchange rates

1995 • 222 citations

The Time Variation of Risk and Return in Foreign Exchange Markets: A General Equilibrium Perspective

1996 • 222 citations

Accounting for Forward Rates in Markets for Foreign Currency

1993 • 219 citations

Real exchange rates and relative prices

1993 • 206 citations

The covariation of risk premiums and expected future spot exchange rates

1986 • 197 citations

Testing Rational Expectations and Efficiency in the Foreign Exchange Market

1983 • 187 citations

On time varying risk premia in the foreign exchange market: An econometric analysis

1985 • 177 citations

A General Equilibrium Model of International Portfolio Choice

1993 • 176 citations

Currency prices, terms of trade, and interest rates: A general equilibrium asset-pricing cash-in-advance approach

1985 • 153 citations

Nonparametric estimation of structural models for high-frequency currency market data

1995 • 142 citations

An Equilibrium Model of Exchange Rate Determination and Asset Pricing with Nontraded Goods and Imperfect Information

1987 • 129 citations

Computational Analysis of Global Trading Arrangements

1990 • 102 citations

On the foreign exchange risk premium in a general equilibrium model

1992 • 98 citations

Is it risk?

1988 • 85 citations

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

1994 • 81 citations

Equity risk premia and the pricing of foreign exchange risk

1992 • 67 citations

Tests for a Systematic Risk Component in Deviations from Uncovered Interest Rate Parity

1991 • 62 citations

Profits, risk, and uncertainty in foreign exchange markets

1993 • 57 citations

Operational Aspects of the Siegel Paradox

1975 • 54 citations

Affine Models of Currency Pricing

1996 • 50 citations

The pricing of forward exchange rates

1989 • 36 citations

The Pricing of Forward Exchange Rates

1987 • 25 citations

What explains the risk premium in foreign exchange returns?

1994 • 22 citations

An Empirical Analysis of Ex Ante Profits from Forward Speculation in Foreign Exchange Markets

1991 • 20 citations

An empirical inquiry into the nature of the forward exchange rate bias

1991 • 16 citations

Handbooks in Operations Research and Management Science Volume 9 Finance

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